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Scaled centered risk under concave utility
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Mathematics
Area of mathematics
Mathematical optimization
Mathematical finance
Utility function
Expected utility maximization
Created
2026-09-24
Updated
2026-09-24
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If
U
is concave and
E
Z
=
0
, then
G
(
s
)
=
E
[
U
(
m
+
s
Z
)]
(1)
is concave in
s
. By
Jensen inequality
,
G
(
s
)
≤
G
(
0
)
; concavity then makes
G
nonincreasing on
[
0
,
∞
)
.
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Expected utility maximization
Utility function
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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(1)
Past exam of the mathematics course of the University of Cambridge
/
2023
/
ii
/
Paper 1
/
30K
/
b
/
Solution
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