Conditional Certainty Equivalent
AbstractIn 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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Bibliographic InfoArticle 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 ()
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- Giammarino, Flavia & Barrieu, Pauline, 2011.
"Indifference pricing with uncertainty averse preferences,"
40636, University Library of Munich, Germany, revised 09 Mar 2012.
- Giammarino, Flavia & Barrieu, Pauline, 2013. "Indifference pricing with uncertainty averse preferences," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 22-27.
- Sara Biagini & Jocelyne Bion-Nadal, 2012. "Dynamic quasi-concave performance measures," Papers 1212.3958, arXiv.org.
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