CARMA and Sigma OPT: Colloquium "Why Bankers Should Learn Convex Analysis (Part 2)"

Abstract

Concave utility functions and convex risk measures play crucial roles in economic and financial problems. The use of concave utility function can at least be traced back to Bernoulli when he posed and solved the St. Petersburg wager problem. They have been the prevailing way to characterize rational market participants for a long period of time until the 1970