Jensen's inequality for monetary utility functions

DOI10.1186/1029-242X-2012-128zbMath1277.26042WikidataQ59289385 ScholiaQ59289385MaRDI QIDQ372209

Long Jiang, Jing Liu

Publication date: 14 October 2013

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

zbMATH Keywords

Jensen's inequalityconvex functionsconcave functionsmonetary utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Inequalities for sums, series and integrals (26D15) Convexity of real functions in one variable, generalizations (26A51)

Related Items (1)

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Cites Work

• Representation of the penalty term of dynamic concave utilities
• Convex measures of risk and trading constraints
• Optimal risk sharing with non-monotone monetary functionals
• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

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