The notion of prudence was very useful in economics to analyze saving or self protection decisions. We show in this note that, following Ben-Tal and Teboulle (2007), it is also relevant to develop risk measures.
Prudence, risk measures and the Optimized Certainty Equivalent: a note
PAGANI, Elisa;
2016-01-01
Abstract
The notion of prudence was very useful in economics to analyze saving or self protection decisions. We show in this note that, following Ben-Tal and Teboulle (2007), it is also relevant to develop risk measures.
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