Risk preferences on the space of quantile functions
type: Item
instance of: scholarly article
title: Risk preferences on the space of quantile functions
zbMATH Open document ID: 1311.91126
published in: Mathematical Programming. Series A. Series B
publication date: 2014-12-18T00:00:00Z
review text: The recent authors' paper [SIAM J. Optim. 23, No. 1, 381--405 (2013; Zbl 1271.91051)] provided a unified approach to two very popular theories, the theory of expected utility and the dual utility theory, by using tools of modern convex analysis. The aim of the present paper is to continue along the theory of the previous paper to develop a quantile-based theory of risk preferences. The main result of the present paper consists of proposing a novel approach to the quantification of law invariant risk pretences on the prospect space of quantile functions. The results of the paper are close to those presented in [\textit{E. Jouini} et al., in: Advances in mathematical economics 9, 49--71 (2006; Zbl 1198.46028)].
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 46N10
Mathematics Subject Classification ID: 49N15
zbMATH DE Number: 6381520
zbMATH Keywords: risk measures
zbMATH Keywords: quantile functions
zbMATH Keywords: conjugate duality
zbMATH Keywords: Kusuoka representation
author: Darinka Dentcheva
author: Andrzej Ruszczyński
MaRDI profile type: Publication
full work available at URL: s10107-013-0724-2
OpenAlex ID: W2017380677
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DOI: 10.1007/S10107-013-0724-2
description: scientific article; zbMATH DE number 6381520