Concavity, stochastic utility, and risk aversion

DOI10.1007/s00780-021-00448-5zbMath1461.91274OpenAlexW3124352740MaRDI QIDQ2022764

Siguang Li, Robert A. Jarrow

Publication date: 29 April 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-021-00448-5

zbMATH Keywords

risk aversionstate-dependent utilitystochastic utilitypointwise concavityuniform risk aversionuniform risk aversion for independent gambles

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08) Portfolio theory (91G10)

Related Items (2)

Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Optimal consumption, investment, and insurance under state-dependent risk aversion

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