On the nature of certainty equivalent functionals
نویسندگان
چکیده
منابع مشابه
Certainty equivalent measures of risk
We study a framework for constructing coherent and convex measures of risk that is inspired by infimal convolution operator, and which is shown to constitute a new general representation of these classes of risk functions. We then discuss how this scheme may be effectively applied to obtain a class of certainty equivalent measures of risk that can directly incorporate preferences of a rational ...
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ژورنال
عنوان ژورنال: Journal of Mathematical Economics
سال: 2006
ISSN: 0304-4068
DOI: 10.1016/j.jmateco.2006.06.006