Arbeitspapier
Certainty Equivalent in Capital Markets
We generalize the classical concept of a certainty equivalent to a model where an investor can trade on a capital market with several future trading dates. We show that if a riskless asset is traded and the investor has a CARA utility then our generalized certainty equivalent can be evaluated using the sum of discounted one-period certainty equivalents. This is not true if the investor has a HARA utility.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 272
- Klassifikation
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
- Thema
-
certainty equivalent
CARA
Erwartungsnutzen
Kapitalmarkttheorie
Risikoaversion
Nutzenfunktion
Theorie
Entscheidung bei Unsicherheit
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kruschwitz, Lutz
Löffler, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kruschwitz, Lutz
- Löffler, Andreas
- Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2003
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