Jensen's inequality for monetary utility functions

DOI10.1186/1029-242X-2012-128zbMATH Open1277.26042WikidataQ59289385 ScholiaQ59289385MaRDI QIDQ372209FDOQ372209

Authors: Long Jiang, Jing Liu 

Publication date: 14 October 2013

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

Recommendations

• A note on Jensen's inequality involving monetary utility functions
• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• Jensen's inequality for operator monotone functions
• The nonconcavity of money-metric utility: a new formulation and proof
• Jensen inequalities for functions with higher monotonicities
• Utility theory and continuous monotonic functions
• Money-metric utility functions in the theory of revealed preference
• A Utility Equivalence Theorem for Concave Functions
• scientific article; zbMATH DE number 2065881

zbMATH Keywords

convex functionsJensen's inequalityconcave functionsmonetary utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Convexity of real functions in one variable, generalizations (26A51) Inequalities for sums, series and integrals (26D15)

Cites Work

• Representation of the penalty term of dynamic concave utilities
• Convex measures of risk and trading constraints
• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• Optimal risk sharing with non-monotone monetary functionals

Cited In (2)

• The nonconcavity of money-metric utility: a new formulation and proof
• A note on Jensen's inequality involving monetary utility functions

This page was built for publication: Jensen's inequality for monetary utility functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q372209)