Monetary Utility Functions and Risk Functionals

Christos Floros (), Konstantinos Gkillas () and Christos Kountzakis ()
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Christos Floros: Hellenic Mediterranean University
Konstantinos Gkillas: Hellenic Mediterranean University
Christos Kountzakis: University of the Aegean

A chapter in Essays on Financial Analytics, 2023, pp 27-35 from Springer

Abstract: Abstract This paper’s content is devoted to the study of the monetary utility functions and their use in optimal portfolio choice and optimal risk allocation. In most of the relative papers, the domain of a monetary utility function is a dual space. This approach implies that closed and convex sets are weak-star compact. The main contribution of the present paper is the definition of such a function on any Riesz space, which is not necessarily a dual space, but it formulates a symmetric Riesz dual pair together with its topological dual. This way of definition implies the weak compactness of the sets usually needed for the solution of the above optimization problems.

Keywords: Monetary risk measures; Risk functionals; Premium calculation principles; Monetary utility functions; Optimal portfolio choice; Optimal risk allocation; 90C44; 91B05; C44; G22 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnopch:978-3-031-29050-3_2

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DOI: 10.1007/978-3-031-29050-3_2

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