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Scaled centered risk under concave utility
...
Mathematics
Area of mathematics
Mathematical optimization
Mathematical finance
Utility function
Expected utility maximization
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Words: 30
If
U
is concave and
E
Z
=
0
, then
G
(
s
)
=
E
[
U
(
m
+
s
Z
)]
(28)
is concave in
s
. By
Jensen inequality
,
G
(
s
)
≤
G
(
0
)
; concavity then makes
G
nonincreasing on
[
0
,
∞
)
.
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(7)
Expected utility maximization
Utility function
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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