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摘要
En 中文
Approximating arbitrage or a perfect hedge in a limit implies approximation in utility (formally, expected utilities are continuous in L-2), if and only if the utility function is bounded above and below by quadratics. We characterize when some special utility functions are continuous for all random consumptions with a common lower bound. Only linear, quadratic, and, in some cases, translated SAHARA utilities are continuous if there is no lower bound. We also characterize when a utility function defined on a convex subset can be extended to an L-2-continuous nondecreasing and concave utility function on all of R.
Keyword:
Approximate utility
Properness
von Neumann-Morgenstern
Quadratic utility
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期刊
IF:
6.9
论文数:
9.2K
被引数:
2.8W
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