Generalized optimized certainty equivalent with applications in the rank-dependent utility model (Q6496951)
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scientific article; zbMATH DE number 7842601
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized optimized certainty equivalent with applications in the rank-dependent utility model |
scientific article; zbMATH DE number 7842601 |
Statements
Generalized optimized certainty equivalent with applications in the rank-dependent utility model (English)
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6 May 2024
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risk management
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variational preference
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optimized certainty equivalent
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convex risk measure
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coherent risk measure
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duality
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rank-dependent utility
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\(\varphi\)-divergence
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