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Scaled centered risk under concave utility

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Mathematical finance Utility function Expected utility maximization
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
If U is concave and EZ=0, then
G(s)=E[U(m+sZ)]
(1)
is concave in s. By Jensen inequality, G(s)≤G(0); concavity then makes G nonincreasing on [0,∞).

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 1 / 30K / b / Solution

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