Differentiability Properties of Utility Functions

DOI10.1007/978-3-642-02608-9_3MaRDI QIDQ3400709zbMATH OpenOpenAlexFDO

Authors Freddy Delbaen

Publication date 5 February 2010

Published in Optimality and Risk - Modern Trends in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-02608-9_3

zbMATH Keywords

risk measuresdifferentiabilityautomatic continuitymonetary utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Convex sets in topological vector spaces (aspects of convex geometry) (52A07) Financial applications of other theories (91G80)

Cited in

(17)

• Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
• Utility functions on chains
• Differentiability Properties of a Parametric Consumer Problem
• Convex functions on dual Orlicz spaces
• Temporary competitive equilibrium in a monetary economy with uncertain technology and many planning periods
• Multivariate risk measures in the non-convex setting
• Multivariate risk measures: a constructive approach based on selections
• Spatial risk measures: local specification and boundary risk
• A coercive James's weak compactness theorem and nonlinear variational problems
• Compactness, Optimality, and Risk
• A Boolean valued analysis approach to conditional risk
• Weighted V\@R and its properties
• On the Lebesgue property of monotone convex functions
• Weak compactness of sublevel sets
• Lebesgue property for convex risk measures on Orlicz spaces
• Weak compactness and variational characterization of the convexity
• Maximum Lebesgue extension of monotone convex functions

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