CONDITIONAL CERTAINTY EQUIVALENT

DOI10.1142/S0219024911006255zbMath1213.91170MaRDI QIDQ3086255

Marco Maggis, Marco Frittelli

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Musielak-Orlicz spacesdual representationquasiconcavityconditional certainty equivalentstochastic dynamic utility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (17)

Conditional preference orders and their numerical representations ⋮ A characterization of the vector lattice of measurable functions ⋮ DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE ⋮ Strongly consistent multivariate conditional risk measures ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ Parameter-dependent stochastic optimal control in finite discrete time ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ Dynamic quasi concave performance measures ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Capital allocation à la Aumann-Shapley for non-differentiable risk measures ⋮ Stochastic dynamic utilities and intertemporal preferences ⋮ Dynamic assessment indices ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Булевозначный подход к анализу условного риска ⋮ On the extension property of dilatation monotone risk measures ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Orlicz spaces and modular spaces
• A unified framework for utility maximization problems: An Orlicz space approach
• Horizon-unbiased utility functions
• Integrals which are convex functionals
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Dynamic Choice Theory and Dynamic Programming
• On the Existence of Minimax Martingale Measures
• Exponential Hedging and Entropic Penalties
• Risk Aversion in the Small and in the Large
• A Generalized Stochastic Differential Utility
• Introduction to a theory of value coherent with the no-arbitrage principle

This page was built for publication: CONDITIONAL CERTAINTY EQUIVALENT