搜索结果: 1-6 共查到“理学 utility functions”相关记录6条 . 查询时间(0.159 秒)
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...
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...