In a dynamic framework, we study the conditional version of the classical notion of certainty equivalent when the preferences are described by a stochastic dynamic utility. We introduce an appropriate mathematical setting, namely Orlicz spaces determined by the underlying preferences and thus provide a systematic method to go beyond the case of bounded random variables. Finally we prove a conditional version of the dual representation which is a crucial prerequisite for discussing the dynamics of certainty equivalents.

Conditional certainty equivalent / M. Frittelli, M. Maggis. - In: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. - ISSN 0219-0249. - 14:1(2011), pp. 41-59. [10.1142/S0219024911006255]

Conditional certainty equivalent

M. Frittelli
Primo
;
M. Maggis
Ultimo
2011

Abstract

In a dynamic framework, we study the conditional version of the classical notion of certainty equivalent when the preferences are described by a stochastic dynamic utility. We introduce an appropriate mathematical setting, namely Orlicz spaces determined by the underlying preferences and thus provide a systematic method to go beyond the case of bounded random variables. Finally we prove a conditional version of the dual representation which is a crucial prerequisite for discussing the dynamics of certainty equivalents.
Stochastic Dynamic Utility; Conditional Certainty Equivalent; Musielak-Orlicz spaces; quasiconcavity, dual representation
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
2011
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/154653
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