The difference between the risk premia determined by two different utility functions is considered. The least upper bound of such difference is provided both in the differentiable case and in the non-differentiable case.
On certainty equivalent
CIGOLA, MARGHERITA
1992
Abstract
The difference between the risk premia determined by two different utility functions is considered. The least upper bound of such difference is provided both in the differentiable case and in the non-differentiable case.
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