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A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index - MaRDI portal

A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index

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Publication:2337430

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DOI10.1007/978-3-030-25498-8_12zbMath1427.91233OpenAlexW2961826091MaRDI QIDQ2337430

Erick Treviño Aguilar, Daniel Hernández-Hernández

Publication date: 20 November 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-25498-8_12

zbMATH Keywords

asymptotic behavior utility functions optimal investment strategies Arrow-Pratt risk aversion index

Mathematics Subject Classification ID

Utility theory (91B16) Actuarial mathematics (91G05)

Related Items (1)

Portfolio management under drawdown constraint in discrete-time financial markets

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