Search Results - subject:"Expected utility maximization"

New development on the third order stochastic dominance for risk-averse and risk-seeking investors with application in risk management

Chan, Raymond H.; Guo, Xu; Clark, Ephraim; Wong, Wing Keung - 2020

Persistent link: https://www.econbiz.de/10012384554

Revealed preference analysis of expected utility maximization under prizeprobability trade-offs

Cherchye, Laurens; Demuynck, Thomas; Rock, Bram de; … - 2019

Persistent link: https://www.econbiz.de/10012244058

Revealed preference analysis of expected utility maximization under prize-probability trade-offs

Cherchye, Laurens; Demuynck, Thomas; Rock, Bram de; … - 2019

Persistent link: https://www.econbiz.de/10012179628

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent Economics & Finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

Persistent link: https://www.econbiz.de/10011559141

Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors

Guo, Xu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2014

In this paper we first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.

Persistent link: https://www.econbiz.de/10011108494

On modeling banking risk

Tsionas, Efthymios G. - Bank of Greece - 2014

The paper develops new indices of financial stability based on an explicit model of expected utility maximization by …

Persistent link: https://www.econbiz.de/10010855044

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10010490408

A Note on Almost Stochastic Dominance

Guo, Xu; Zhu, Xuehu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2013

To satisfy the property of expected-utility maximization, Tzeng et al. (2012) modify the almost second … dominance has the hierarchy property but not expected-utility maximization. In contrast, Tzeng et al.'s (2012) definition has … the property of expected-utility maximization but not the hierarchy property. This phenomenon also holds for higher …

Persistent link: https://www.econbiz.de/10011108995

Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors

Xu, Guo; Wing-Keung, Wong; Lixing, Zhu - Volkswirtschaftliche Fakultät, … - 2013

In this paper we �first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.

Persistent link: https://www.econbiz.de/10011257716

On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors

Chan, Raymond H.; Clark, Ephraim; Wong, Wing-Keung - Volkswirtschaftliche Fakultät, … - 2012

dominance(DSD). We first discuss the basic property of ASD and DSD linking the ASD and DSD of the first three orders to expected-utility … maximization for risk-averse and risk-seeking investors. Thereafter, we prove that a hierarchy exists in both ASD and DSD …

Persistent link: https://www.econbiz.de/10011111756