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Persistent link: https://www.econbiz.de/10009542257
In this paper, we introduce a class of optimized certainty equivalent based on the variational preference, give its dual representation based on ϕ-divergence, and study its equivalent characterization of positive homogeneity and coherence. As applications, we investigate the properties of...
Persistent link: https://www.econbiz.de/10012822942