Skip to main content

New answers tagged

1 vote

What is the proper way to derive risk definitions from utility functions?

My reply was too long, so I am posting it as a separate comment. Thank you Kermittfrog for the derivation! (I think you meant to write $\rho(W_0)$ instead of $\rho(w)$ in the value of $w^*$.) Since ...
Machinus's user avatar
1 vote
Accepted

What is the proper way to derive risk definitions from utility functions?

Note: This is (still) the starting point to a proper answer. If time permits, I'll add some flesh from time to time. From a mathematical point of view, in order to obtain the optimal investment ...
Kermittfrog's user avatar
  • 6,663

Top 50 recent answers are included