Article2011

CONDITIONAL CERTAINTY EQUIVALENT

45 citations0/0 files storedInternational Journal of Theoretical and Applied Finance

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Stochastic processes and financial applications Decision-Making and Behavioral Economics Risk and Portfolio Optimization

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 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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References

1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 2002Stochastic Finance: An Introduction in Discrete Time 1998Stochastic Flows and Stochastic Differential Equations 1999Infinite Dimensional Analysis 1989Optimal replication of contingent claims under transaction costs 2000Pricing Via Utility Maximization and Entropy 2002Exponential Hedging and Entropic Penalties

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