Abstract
We investigate differentiability properties of monetary utility functions. At the same time we give a counter-example—important in finance—to automatic continuity for concave functions.
The author thanks Credit Suisse for support of his research. Also the support of the NCCR programme FinRisk is appreciated. The paper only reflects the personal opinion of the author.
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© 2009 Springer-Verlag Berlin Heidelberg
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Delbaen, F. (2009). Differentiability Properties of Utility Functions. In: Optimality and Risk - Modern Trends in Mathematical Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02608-9_3
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DOI: https://doi.org/10.1007/978-3-642-02608-9_3
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Online ISBN: 978-3-642-02608-9
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