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上海财经大学微观经济学课件Chapter 4 Utility。
A Utility Framework for Bounded-Loss Market Makers
Utility Framework Bounded-Loss Market Makers
2012/9/14
We introduce a class ofutility-based market makersthat always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We ...
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
Maximizing Utility Consumption Subject a Constraint Lifetime Ruin
2012/9/14
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which ...
Do arbitrage-free prices come from utility maximization?
arbitrage-free prices come from utility maximization
2012/9/14
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
Robust utility maximization for Levy processes:Penalization and solvability
Convex risk measures duality robust utility Levy processes.
2012/9/14
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/6/5
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
Life Insurance Purchasing to Maximize Utility of Household Consumption
Life insurance utility maximization optimal consumption optimal investment exponential utility
2012/6/5
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance,...
Expected Utility Violations: Implications for Agricultural and Natural Resource
natural resource economics market behavior
2011/10/5
Investigates the implications of expected utility (EU) violations for agricultural and natural resource economics. Risk evaluation under EU; Behavior inconsistent with EU's linear treatment of probabi...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Model Formulation. Continuity of the Optimizers
2011/7/20
This article studies the sensitivity of the power utility maximization problem with respect to the investor’s relative risk aversion, the statistical probability measure, the investment constraints an...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
Equilibrium with exponential utility and non-negative consumption
Exponential Utility Arrow-Debreu Equilibrium Heterogeneous Economy
2011/7/4
We study a multi-period Arrow-Debreu equilibrium in a heterogeneous
economy populated by agents trading in a complete market. Each agent
is represented by an exponential utility function, where addi...
CRRA Utility Maximization under Risk Constraints
BSDE CRRA preferences constrained utility maximization correspondences risk measures
2011/7/4
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion)
preferences, subject to dynamic risk constraints on trading strategies. The market model considered
...