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Let be a vector space of random variables and suppose
has an optimizer for every . If is increasing and concave, then is increasing and concave. For concavity, combine optimizers at two values using the same convex coefficient as the values themselves.

Ancestors (7)

  1. Expected utility maximization
  2. Utility function
  3. Mathematical finance
  4. Mathematical optimization
  5. Area of mathematics
  6. Mathematics
  7. Home