Search Results - subject:"Expected utility maximization"

An incentive compatible scoring rule for ordinal judgments of expected utility maximizers

Jaspersen, Johannes G. - In: Economics letters 120 (2013) 2, pp. 245-248

Persistent link: https://www.econbiz.de/10010128324

Wealth-driven competition in a speculative financial market: Examples with maximizing agents

Anufriev, Mikhail - 2005

This paper demonstrates how both quantitative and qualitative results of general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the particular case of linear investment choices. In...

Persistent link: https://www.econbiz.de/10010328419

Wealth-Driven Competition in a Speculative Financial Market: Examples with Maximizing Agents

Anufriev, Mikhail - Laboratory of Economics and Management (LEM), Scuola … - 2005

. Keywords: Asset Pricing Model, CRRA Framework, Equilibrium Market Line, Ratio- nal Choice, Expected Utility Maximization, Mean …, while now we will con ne our attention only on the substantively rational traders. 3.1 Expected Utility Maximization 3 … results. In Section 3 we introduce two important special cases of investment behavior: one which is based on expected utility …

Persistent link: https://www.econbiz.de/10005292650

Aspects concerning entropy and utility

Hoseinzadeh, A.; Borzadaran, G. Mohtashami; Yari, G. - In: Theory and Decision 72 (2012) 2, pp. 273-285

Persistent link: https://www.econbiz.de/10010865781

Hedging Strategies and Financial Risks

Zmeškal, Zdenìk - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 1-2, pp. 50-63

Hedging strategies represent basic instrument used toward eliminating financial risk. Increasing volatility of financial markets and their globalization also lead to higher financial risks. These aspects are especially important for transitional and small open economies. The basic goal of the...

Persistent link: https://www.econbiz.de/10008495620

Interest rate risk hedging demand under a Gaussian framework

Attaoui, Sami; Six, Pierre - In: Journal of Financial Transformation 28 (2010), pp. 103-107

This article analyzes the state variables Merton-Breeden hedging demand for an investor endowed with a utility function over both intermediate consumption and terminal wealth. Based on the three-factor model of Babbs and Nowman (1999), we show that this demand can be simply expressed as weighted...

Persistent link: https://www.econbiz.de/10008456506

Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes

Vigna, Elena - Centre for Research on Pensions and Welfare Policies … - 2009

continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique …

Persistent link: https://www.econbiz.de/10008635813

Wealth-driven competition in a speculative financial market: examples with maximizing agents

Anufriev, Mikhail - In: Quantitative Finance 8 (2008) 4, pp. 363-380

This paper demonstrates how both the quantitative and qualitative results of a general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk-aversion assumption can be applied to the special case of optimizing behaviour. The...

Persistent link: https://www.econbiz.de/10005141329

The Effects of Foreign Price Uncertainty on Australian Production and Trade

Appelbaum, Elie; Woodland, Alan D. - Department of Economics, York University - 2008

results are consistent with expected utility maximization and that the hypothesis of risk neutrality is soundly rejected …

Persistent link: https://www.econbiz.de/10005357416

A Benchmark Approach to Portfolio Optimization under Partial Information

Platen, Eckhard; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 14 (2007) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10005727017