Decision-making under risk: when is utility-maximization equivalent to risk-minimization?
type: Item
instance of: scholarly article
title: Decision-making under risk: when is utility-maximization equivalent to risk-minimization?
zbMATH Open document ID: 1542.9141
author: Francesco Ruscitti
author: Ram Sewak Dubey
author: Giorgio Laguzzi
published in: Theory and Decision
publication date: 2024-08-26T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91B06
zbMATH DE Number: 7901438
zbMATH Keywords: financial position
zbMATH Keywords: fundamental theorem of asset pricing
zbMATH Keywords: coherent risk measure
zbMATH Keywords: utility-based shortfall risk measure
zbMATH Keywords: risk-perception axiom
MaRDI profile type: Publication
cites work: Q5386174
cites work: The valuation problem in arbitrage price theory
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cites work: Robust utility maximization with limited downside risk in incomplete markets
cites work: Distributionally robust shortfall risk optimization model and its approximation
cites work: Coherent risk measures in general economic models and price bubbles
cites work: Subjective Probability and Expected Utility without Additivity
DOI: 10.1007/S11238-023-09969-1
description: scientific article; zbMATH DE number 7901438