Monetary Utility Functions on $C_b(X)$ Spaces
Freddy Delbaen
TL;DR
This paper characterizes robust monetary utility functions on the space of bounded continuous functions over Polish spaces, providing a mathematical foundation for their analysis and application.
Contribution
It offers a novel characterization of robust monetary utility functions specifically on $C_b(X)$ spaces, extending existing theories.
Findings
Provides a comprehensive mathematical description of utility functions.
Establishes conditions for robustness in monetary utility functions.
Lays groundwork for future applications in financial mathematics.
Abstract
We will characterise robust monetary utility functions defined on the space of real valued (bounded) continuous functions on a Polish space.
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Taxonomy
TopicsEconomic theories and models · Risk and Portfolio Optimization · Advanced Banach Space Theory