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Monetary Utility Functions and Risk Functionals

In: Essays on Financial Analytics

Author

Listed:
  • Christos Floros

    (Hellenic Mediterranean University)

  • Konstantinos Gkillas

    (Hellenic Mediterranean University)

  • Christos Kountzakis

    (University of the Aegean)

Abstract

This paper’s content is devoted to the study of the monetary utility functions and their use in optimal portfolio choice and optimal risk allocation. In most of the relative papers, the domain of a monetary utility function is a dual space. This approach implies that closed and convex sets are weak-star compact. The main contribution of the present paper is the definition of such a function on any Riesz space, which is not necessarily a dual space, but it formulates a symmetric Riesz dual pair together with its topological dual. This way of definition implies the weak compactness of the sets usually needed for the solution of the above optimization problems.

Suggested Citation

  • Christos Floros & Konstantinos Gkillas & Christos Kountzakis, 2023. "Monetary Utility Functions and Risk Functionals," Lecture Notes in Operations Research, in: Pascal Alphonse & Karima Bouaiss & Pascal Grandin & Constantin Zopounidis (ed.), Essays on Financial Analytics, pages 27-35, Springer.
    • Handle: RePEc:spr:lnopch:978-3-031-29050-3_2
    DOI: 10.1007/978-3-031-29050-3_2
    as

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