@TechReport{dp-272,
  author        = {Kruschwitz, Lutz and Löffler, Andreas},
  astring       = {Lutz Kruschwitz und Andreas Löffler},
  title         = {Certainty Equivalent in Capital Markets},
  month         = {January},
  year          = {2003},
  pages         = {12},
  size          = {113K},
  institution   = fb,
  type          = dp,
  issn          = fb:issn,
  number        = {272},
  language      = {en},
  keywords      = {certainty equivalent, CARA},
  jelclass      = {D81, D92},
  abstract      = {We generalize the classical concept of a certainty
                  equivalent to a model where an investor can trade on a
                  capital market with several future trading dates. We show
                  that if a riskless asset is traded and the investor has a
                  CARA utility then our generalized certainty equivalent can
                  be evaluated using the sum of discounted one-period
                  certainty equivalents. This is not true if the investor has
                  a HARA utility.}
}