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Minimax identity with robust utility functional for a nonconcave utility
Work
Year: 2022
Type: article
Abstract: The minimax identity for a nondecreasing upper-semicontinuous utility function satisfying mild growth assumption is studied. In contrast to the classical setting, concavity of the utility function is ... more
Source: Modern Stochastics Theory and Applications
Authors Olena Bahchedjioglou, Georgiy Shevchenko
Institutions Taras Shevchenko National University of Kyiv, Kyiv School of Economics
Cites: 23
Cited by: 1
Related to: 10
FWCI: 0.183
Citation percentile (by year/subfield): 41.23
Topic: Risk and Portfolio Optimization
Subfield: Management Science and Operations Research
Field: Decision Sciences
Domain: Social Sciences
Open Access status: diamond