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.; Clark, Ephraim; Guo, Xu; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 2, pp. 108-132

Persistent link: https://www.econbiz.de/10012297611

Composite hedge and utility maximization for optimal futures hedging

Cui, Yan; Feng, Yun - In: International review of economics & finance : IREF 68 (2020), pp. 15-32

Persistent link: https://www.econbiz.de/10012486283

Revisiting generalized almost stochastic dominance

Chang, Jow-Ran; Liu, Wei-Han; Hung, Mao-Wei - In: Decision making and risk/return optimization in …, (pp. 175-192). 2019

Persistent link: https://www.econbiz.de/10012134793

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

Regularity properties in a state-constrained expected utility maximization problem

Lazgham, Mourad - In: Mathematical methods of operations research 88 (2018) 2, pp. 185-240

Persistent link: https://www.econbiz.de/10011935660