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q-fin.RM2009
Preferences Yielding the "Precautionary Effect"
Michel De Lara
Consider an agent taking two successive decisions to maximize his expected utility under uncertainty. After his first decision, a signal is revealed that provides information about…
q-fin.RM2009★ 1 cited
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Laetitia Andrieu, Michel De Lara, Babacar Seck
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call t…