Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/78353
Authors: 
Kruschwitz, Lutz
Löffler, Andreas
Year of Publication: 
2003
Series/Report no.: 
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät, Universität Hannover 272
Abstract: 
We generalize the classical concept of a certainty equivalent to a model where an investor can trade on a capital market with several future trading dates. We show that if a riskless asset is traded and the investor has a CARA utility then our generalized certainty equivalent can be evaluated using the sum of discounted one-period certainty equivalents. This is not true if the investor has a HARA utility.
Subjects: 
certainty equivalent
CARA
JEL: 
D81
D92
Document Type: 
Working Paper

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