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  • Search: subject:"Logarithmic utility"
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Year of publication
Subject
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logarithmic utility 3 Shannon information 2 differential entropy 2 enlargement of filtration 2 entropy 2 heterogeneous information 2 information difference 2 insider model 2 utility maximization 2 Armut 1 Decomposability 1 Logarithmic utility 1 Measurement 1 Messung 1 Nutzen 1 Nutzenfunktion 1 Optimal investment 1 Poverty 1 Poverty persistence 1 Social welfare function 1 Soziale Wohlfahrtsfunktion 1 Theorie 1 Theory 1 Utilitarian welfare function 1 Utilitarianism 1 Utilitarismus 1 Utility 1 Utility function 1 Welfare economics 1 Welfare loss 1 Wohlfahrtsökonomik 1 backward stochastic differential equation 1 default intensity 1 default time 1 dynamic programming principle 1 exponential utility 1 filtering 1 indifference price 1 information pricing 1 power utility 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 3 Article 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1 Working Paper 1
Language
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English 4
Author
All
Ankirchner, Stefan 2 Dereich, Steffen 2 Imkeller, Peter 2 Lim, Thomas 1 Quenez, Marie-Claire 1 Villar, Antonio 1
Institution
All
HAL 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Economics letters 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Working Papers / HAL 1
Source
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RePEc 2 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 4 of 4
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A note on the measurement of poverty persistence
Villar, Antonio - In: Economics letters 236 (2024), pp. 1-3
Persistent link: https://www.econbiz.de/10015071839
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Portfolio optimization in a default model under full/partial information
Lim, Thomas; Quenez, Marie-Claire - HAL - 2010
contribution consists in showing that the optimal strategy can be obtained by a direct approach for the logarithmic utility …
Persistent link: https://www.econbiz.de/10008793843
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The Shannon information of filtrations and the additional logarithmic utility of insiders
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter - 2005
represented by an enlargement of the other agents' filtration. The expected logarithmic utility increment, i.e. the difference of … the insider's and the less informed trader's expected logarithmic utility is described in terms of the information drift …
Persistent link: https://www.econbiz.de/10010263596
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Cover Image
The Shannon Information of Filtrations and the Additional Logarithmic Utility of Insiders
Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
represented by an enlargement of the other agents’ filtration. The expected logarithmic utility increment, i.e. the difference of … the insider’s and the less informed trader’s expected logarithmic utility is described in terms of the information drift …
Persistent link: https://www.econbiz.de/10005652772
Saved in:
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