Jensen's inequality for monetary utility functions

DOI10.1186/1029-242X-2012-128MaRDI QIDQ372209zbMATH OpenWikidataFDO

Authors Long Jiang, Jing Liu

Publication date 14 October 2013

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

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)

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• scientific article; zbMATH DE number 2065881

Cites work

• 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
• Representation of the penalty term of dynamic concave utilities

Cited in

(2)

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

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