搜索结果: 1-10 共查到“utility functions”相关记录10条 . 查询时间(0.187 秒)
Optimal investment with bounded VaR for power utility functions
VaR power utility functions
2010/10/18
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is f...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
Optimal investment with bounded VaR for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk
2010/4/27
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is fo...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Black-Scholes model Capital-at-Risk Expected Shortfall logarithmic utility optimal consumption portfolio optimization utility maximization Value-at-Risk
2010/4/27
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in te...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...
Aggregation in Incomplete Market with General Utility Functions
Aggregation constrained Pareto optimal incomplete market
2011/4/2
This paper tackles the "aggregation problem" for stochastic economies with possibly incomplete market. An "aggregation theorem" is proved towards an analytic construction of the representative agent’s...
Dynamic portfolio choice problems with non-monotone utility functions
Portfolio monotone Mean-variance preferences, Continuous-Time
2010/9/13
In this paper, based on a non-monotone utility function being revised to a monotone utility function, we study the multi-period and continuous-time optimal consumption-investment choice model, and giv...
New alternative to formulate utility functions in consumer theory
Consumer theory Utility function Projection Theorem
2010/9/10
In this paper, we propose a mathematical approach leading systematically to a key result of the consumer theory: the representation of utility function.
Fisher Equilibrium Price with a Class of Concave Utility Functions.
Fisher Equilibrium Price Concave Utility Functions.
2012/11/29
In this paper we study efficient algorithms for computing equilibrium price in the Fisher model for a class of nonlinear concave utility functions, the logarithmic utility functions. We derive a duali...