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Monetary utility functions

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

Abstract

１Ｉｎｔｒｏｄｕｃｔｉｏｎ２ＭａｔｈｅｍａｔｉｃａｌＰｒｅｌｉｍｉｎａｒｉｅｓ３ＶａｌｕｅａｔＲｉｓｋ４ＣｏｈｅｒｅｎｔａｎｄＣｏｎｃａｖｅＵｔｉｌｉｔｙＦｕｎｃｔｉｏｎｓ５ＬａｗＤｅｔｅｒｍｉｎｅｄＭｏｎｅｔａｒｙＵｔｉｌｉｔｙＦｕｎｃｔｉｏｎｓ６Ｏｐｅｒａｔｉｏｎｓｏｎｕｔｉｌｉｔｙｆｕｎｃｔｉｏｎｓ７Ｃｏｎｖｅｘｇａｍｅｓａｎｄｕｔｉｌｉｔｙｆｕｎｃｔｉｏｎｓ８ＲｅｌａｔｉｏｎｗｉｔｈＶａＲ９ＴｈｅＣａｐｉｔａｌＡｌｌｏｃａｔｉｏｎＰｒｏｂｌｅｍ１０ＴｈｅｅｘｔｅｎｓｉｏｎｏｆｒｉｓｋｍｅａｓｕｒｅｓｔｏＬ０１１Ｄｙｎａｍｉｃｕｔｉｌｉｔｙｆｕｎｃｔｉｏｎｓｉｎａｔｗｏｐｅｒｉｏｄｍｏｄｅｌ１２ＦｉｎｉｔｅａｎｄｄｉｓｃｒｅｔｅＴｉｍｅ

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