Conditional certainty equivalent

DOI10.1142/S0219024911006255MaRDI QIDQ3086255zbMATH OpenFDO

Authors Marco Maggis, Marco Frittelli

Publication date 30 March 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Musielak-Orlicz spacesdual representationquasiconcavityconditional certainty equivalentstochastic dynamic utility

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1001278 (Why is no real title available?)
• scientific article; zbMATH DE number 5499205 (Why is no real title available?)
• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• A Generalized Stochastic Differential Utility
• A unified framework for utility maximization problems: An Orlicz space approach
• Dynamic Choice Theory and Dynamic Programming
• Exponential Hedging and Entropic Penalties
• Horizon-unbiased utility functions
• Integrals which are convex functionals
• Introduction to a theory of value coherent with the no-arbitrage principle
• On the Existence of Minimax Martingale Measures
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Orlicz spaces and modular spaces
• Risk Aversion in the Small and in the Large

Cited in

(20)

• Conditional preference orders and their numerical representations
• Time-consistency of risk measures: how strong is such a property?
• A characterization of the vector lattice of measurable functions
• Optimal initial capital induced by the optimized certainty equivalent
• Stochastic dynamic utilities and intertemporal preferences
• Risk measures and progressive enlargement of filtration: a BSDE approach
• Portfolio optimization with quasiconvex risk measures
• Implicit Mean Value and Certainty Equivalence
• Strongly consistent multivariate conditional risk measures
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• scientific article; zbMATH DE number 2119292 (Why is no real title available?)
• Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
• A Boolean valued analysis approach to conditional risk
• Dynamic quasi concave performance measures
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• On the extension property of dilatation monotone risk measures
• Dynamic assessment indices
• Dynamic utility and related nonlinear SPDEs driven by Lévy noise
• Parameter-dependent stochastic optimal control in finite discrete time
• Fully-dynamic risk-indifference pricing and no-good-deal bounds

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