Duality theory under model uncertainty for non-concave utility functions
نویسندگان
چکیده
منابع مشابه
Expected Utility Theory under Non - Classical Uncertainty ∗
In this paper Savage’s theory of decision-making under uncertainty is extended from a classical environment into a non-classical one. The Boolean lattice of events is replaced by an arbitrary ortho-complemented poset. We formulate the corresponding axioms and provide representation theorems for qualitative measures and expected utility. Then, we discuss the issue of beliefs updating and investi...
متن کاملDuality Theory for Optimal Investments under Model Uncertainty
Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this paper, we study the the duality theory for the problem of maximizing the robust utility of the terminal wealth in a general incomplete market model. We also allow for very genera...
متن کاملA Utility Equivalence Theorem for Concave Functions
Given any two sets of independent non-negative random variables and a non-decreasing concave utility function, we identify sufficient conditions under which the expected utility of sum of these two sets of variables is (almost) equal. We use this result to design a polynomialtime approximation scheme (PTAS) for the utility maximization in a wide variety of risk-averse settings (when the risk a ...
متن کاملDuality between quasi-concave functions and monotone linkage functions
A function F defined on all subsets of a finite ground set E is quasiconcave if F (X∪Y ) ≥ min{F (X), F (Y )} for all X, Y ⊂ E. Quasi-concave functions arise in many fields of mathematics and computer science such as social choice, theory of graph, data mining, clustering and other fields. The maximization of quasi-concave function takes, in general, exponential time. However, if a quasi-concav...
متن کاملA note on concave utility functions
The classical theory of preference among monetary bets represents people as expected utility maximizers with concave utility functions. Critics of this account often rely on assumptions about preferences over wide ranges of total wealth. We derive a prediction of the theory that bears on bets at any fixed level of wealth, and test the prediction behaviorally. Our results are discrepant with the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics
سال: 2019
ISSN: 2218-2055,1812-5409
DOI: 10.17721/1812-5409.2019/4.6