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- W3152380212 abstract "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." @default.
- W3152380212 created "2021-04-13" @default.
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- W3152380212 date "2003-01-01" @default.
- W3152380212 modified "2023-09-28" @default.
- W3152380212 title "Certainty Equivalent in Capital Markets" @default.
- W3152380212 hasPublicationYear "2003" @default.
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