Decision-Making Under Risk : When Is Utility Maximization Equivalent To Risk Minimization?

We consider a standard one-agent decision-making problem under risk and we address the following question: under what conditions is utility maximization equivalent to 'risk' minimization, where the measure of risk used by the decision-maker is a conservative coherent risk measure?

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Year of publication:	2023
Authors:	Ruscitti, Francesco ; Dubey, Ram Sewak ; Laguzzi, Giorgio
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Risiko \| Risk \| Entscheidung unter Risiko \| Decision under risk \| Portfolio-Management \| Portfolio selection \| Erwartungsnutzen \| Expected utility \| Risikomanagement \| Risk management \| Entscheidung \| Decision

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