A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index

DOI10.1007/978-3-030-25498-8_12MaRDI QIDQ2337430zbMATH OpenOpenAlexFDO

Authors Erick Treviño Aguilar, Daniel Hernández-Hernández

Publication date 20 November 2019

Full work available at URL https://doi.org/10.1007/978-3-030-25498-8_12

zbMATH Keywords

Arrow-Pratt risk aversion indexasymptotic behavioroptimal investment strategiesutility functions

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial mathematics (91G05)

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Cited in

(2)

• On the Bellman equation for asymptotics of utility from terminal wealth
• Portfolio management under drawdown constraint in discrete-time financial markets

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