Time-Consistency of Indifference Prices and Monetary Utility Functions

2006 ◽  
Author(s):  
Patrick Cheridito ◽  
Michael Kupper
Keyword(s):  
Time Consistency ◽  
Utility Functions ◽  
Monetary Utility Functions ◽  
Indifference Prices

scholarly journals Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions

2021 ◽  
Author(s):  
Freddy Delbaen
Keyword(s):  
Time Consistency ◽  
Utility Functions ◽  
Time Step ◽  
Conditional Expectations ◽  
Probability Spaces ◽  
Monetary Utility Functions

AbstractIt is proved that monetary utility functions that are commonotonic and time-consistent are conditional expectations. We also give additional results on atomless and conditionally atomless probability spaces. These notions describe that in a filtration, there are many new events at each time step.

scholarly journals Jensen's inequality for monetary utility functions

2012 ◽  
Vol 2012 (1) ◽  
Author(s):  
Jing Liu ◽  
Long Jiang
Keyword(s):  
Jensen’S Inequality ◽  
Utility Functions ◽  
Jensen's Inequality ◽  
Monetary Utility Functions

EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS

2008 ◽  
Vol 11 (03) ◽  
pp. 325-343 ◽  
Author(s):  
DAMIR FILIPOVIĆ ◽  
MICHAEL KUPPER
Keyword(s):  
Utility Functions ◽  
Point Of View ◽  
Pricing Rules ◽  
Maximum Utility ◽  
Theoretic Point ◽  
Sufficient And Necessary Conditions ◽  
Game Theoretic ◽  
The Individual ◽  
Monetary Utility Functions ◽  
Consumption Constraints

This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.

scholarly journals OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS

2008 ◽  
Vol 18 (2) ◽  
pp. 269-292 ◽  
Author(s):  
E. Jouini ◽  
W. Schachermayer ◽  
N. Touzi
Keyword(s):  
Risk Sharing ◽  
Utility Functions ◽  
Monetary Utility Functions ◽  
Optimal Risk Sharing

Asynchronous Time Consistency Control Methods in Distributed Interactive Simulation

2010 ◽  
Vol 21 (6) ◽  
pp. 1208-1219 ◽  
Author(s):  
Wei ZHANG ◽  
Hang-Jun ZHOU ◽  
Yu-Xing PENG ◽  
Si-Kun LI
Keyword(s):  
Time Consistency ◽  
Interactive Simulation ◽  
Control Methods ◽  
Consistency Control ◽  
Distributed Interactive Simulation

Equity and Time Consistency for Intertemporal Social Decisions

2019 ◽  
Author(s):  
Kaname Miyagishima
Keyword(s):  
Time Consistency ◽  
Social Decisions

A Model for Applying Information and Utility Functions

1963 ◽  
Vol 30 (3) ◽  
pp. 267-273 ◽  
Author(s):  
David Harrah
Keyword(s):  
Utility Functions
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