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Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
On utility maximization under convex portfolio constraints
utility-maximization semimartingale financial market predictable convex-set-valued processes
2011/3/23
We consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predi...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Power Utility Maximization in Constrained Exponential Lévy Models
power utility Lévy process constraints dynamic programming
2010/11/3
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solut...