ダウンロード数: 315
| タイトル: | Optimal Initial Capital Induced by the Optimized Certainty Equivalent |
| 著者: | Arai, Takuji Asano, Takao Nishide, Katsumasa |
| キーワード: | optimal initial capital optimized certainty equivalence monetary utility function prudence premium |
| 発行日: | 27-Nov-2017 |
| 出版者: | Institute of Economic Research, Kyoto University |
| 誌名: | KIER Discussion Paper |
| 巻: | 981 |
| 開始ページ: | 1 |
| 終了ページ: | 20 |
| 抄録: | This paper proposes the notion of optimal initial capital (OIC) induced by the optimized certainty equivalent (OCE) discussed in Ben-Tal and Teboulle (1986) and Ben-Tal and Teboulle (2007), and investigates the properties of the OIC with various types of utility functions. By providing its several properties with different util- ity functions or other assumptions, we successfully present the OIC as a monetary utility function (negative value of risk measure) for future payoffs with the decision- maker’s concrete criteria in the background. |
| URI: | http://hdl.handle.net/2433/228366 |
| 出現コレクション: | KIER Discussion Paper (英文版) |
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