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Conditional Certainty Equivalent


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    (Department of Mathematics, University of Milan, via C. Saldini 50 Milan, 20134, Italy)


    (Department of Mathematics, University of Milan, via C. Saldini 50 Milan, 20134, Italy)

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    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 u(x,t,ω). 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.

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    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 14 (2011)
    Issue (Month): 01 ()
    Pages: 41-59

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    Handle: RePEc:wsi:ijtafx:v:14:y:2011:i:01:p:41-59

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    Keywords: Stochastic dynamic utility; conditional certainty equivalent; Musielak-Orlicz spaces; quasiconcavity; dual representation;


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    Cited by:
    1. Giammarino, Flavia & Barrieu, Pauline, 2011. "Indifference pricing with uncertainty averse preferences," MPRA Paper 40636, University Library of Munich, Germany, revised 09 Mar 2012.
    2. Sara Biagini & Jocelyne Bion-Nadal, 2012. "Dynamic quasi-concave performance measures," Papers 1212.3958,


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