An old-new concept of convex risk measures: The optimized certainty equivalent

Mathematical Finance

Volumn 17, Issue 3, 2007, Pages 449-476

  Ben Tal, Aharon ^a   Teboulle, Marc ^b  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

^b TEL AVIV UNIVERSITY   (Israel)

Author keywords

divergences; Certainty equivalents; Coherent risk measures; Conditional value at risk; Convex duality; Convex risk measures; Decision making under uncertainty; Expected utility; Information theory; Penalty functions; Risk aversion; Shortfall risk

Indexed keywords

EID: 34547301246     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00311.x     Document Type: Article

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