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Title: Optimal Initial Capital Induced by the Optimized Certainty Equivalent
Authors: Arai, Takuji
Asano, Takao
Nishide, Katsumasa
Keywords: optimal initial capital
optimized certainty equivalence
monetary utility function
prudence premium
Issue Date: 27-Nov-2017
Publisher: Institute of Economic Research, Kyoto University
Journal title: KIER Discussion Paper
Volume: 981
Start page: 1
End page: 20
Abstract: 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
Appears in Collections:KIER Discussion Paper (English)

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