Modeling non-monotone risk aversion using SAHARA utility functions

DOI10.1016/j.jet.2011.06.011zbMath1255.91106MaRDI QIDQ643277

An Chen, Antoon Pelsser, Michel H. Vellekoop

Publication date: 28 October 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2011.06.011

zbMATH Keywords

dual approach; utility indifference pricing; SAHARA utility; optimal investment problem

Mathematics Subject Classification ID

91B16: Utility theory

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