Research
Jensen's inequality for monetary utility functions
College of Sciences, China University of Mining & Technology, Xuzhou, Jiangsu, 221116, People's Republic of China
Journal of Inequalities and Applications 2012, 2012:128 doi:10.1186/1029-242X-2012-128
Published: 7 June 2012Abstract
In this paper, we prove that Jensen's inequality holds true for all monetary utility functions with respect to certain convex or concave functions by studying the properties of monetary utility functions, convex functions and concave functions.
