EconPapers    
Economics at your fingertips  
 

Optimal Initial Capital Induced by the Optimized Certainty Equivalent

Takao Asano (), Takuji Arai () and Katsumasa Nishide ()
Additional contact information
Takao Asano: Okayama University
Takuji Arai: Keio University
Katsumasa Nishide: Hitotsubashi University

No 981, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: This paper proposes the notion of optimal initial capital (OIC) induced by the optimized certainty equivalent (OCE) discussed in Ben-Tal and Teboulle (1986) and Ben-Tal and Teboulle (2007), and investigates the properties of the OIC with various types of utility functions. By providing its several properties with different utility functions or other assumptions, we successfully present the OIC as a monetary utility function (negative value of risk measure) for future payoffs with the decisionmaker's concrete criteria in the background.

Keywords: optimal initial capital; optimized certainty equivalence; monetary utility function; prudence premium. (search for similar items in EconPapers)
JEL-codes: D81 G32 G11 D46 (search for similar items in EconPapers)
Pages: 21pages
Date: 2017-12
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.kier.kyoto-u.ac.jp/DP/DP981.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kyo:wpaper:981

Access Statistics for this paper

More papers in KIER Working Papers from Kyoto University, Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Ryo Okui (). This e-mail address is bad, please contact .

 
Page updated 2020-02-13
Handle: RePEc:kyo:wpaper:981