Monetary utility functions with convex level sets
Event details
| Date | 22.10.2014 |
| Hour | 12:00 › 13:00 |
| Speaker | Freddy DELBAEN (ETH Zurich) |
| Location | |
| Category | Conferences - Seminars |
Monetary utility functions are -- except for the expected value -- not of von Neumann-Morgenstern type. In case the utility function has convex level sets in the set of probability measures on the real line, we can give some characterisation that comes close to the vN-M form. Having convex level sets can be seen as a weakened form of the independence axiom in the vN-M theorem. For coherent utility functions the representation problem was solved by Ziegel. The general concave case is
more difficult. With some extra weak compactness property, Stephan Weber could give a characterisation related to a vN-M representation. Refining his results, we can completely characterise this class of utility functions. This is joint work with Bignozzi, Bellini and Ziegel.
more difficult. With some extra weak compactness property, Stephan Weber could give a characterisation related to a vN-M representation. Refining his results, we can completely characterise this class of utility functions. This is joint work with Bignozzi, Bellini and Ziegel.
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