Search Results - subject:"Multivariate utility"

Utility Maximisation with Proportional Transaction Costs

Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2009

proportional transaction costs. The investor’s preferences are represented by a smooth, multivariate utility function, allowing for …

Persistent link: https://www.econbiz.de/10011071836

On multiattributive risk aversion: some clarifying results

Dorfleitner, Gregor; Krapp, Michael - In: Review of Managerial Science 1 (2007) 1, pp. 47-63

Persistent link: https://www.econbiz.de/10008515468

A Note on Optimal Insurance in the presence of a Nonpecuniary Background Risk

Rey, Béatrice - In: Theory and Decision 54 (2003) 1, pp. 73-83

Persistent link: https://www.econbiz.de/10005542823

Dominance Conditions for Multivariate Utility Functions

Scarsini, Marco - In: Management Science 34 (1988) 4, pp. 454-460

Stochastic dominance conditions are given for n-variate utility functions, when k-variate risk aversion is assumed for k = 1, 2, ..., n. These conditions are expressed through a comparison of distribution functions, as in the well-known univariate case, and through a comparison of random...

Persistent link: https://www.econbiz.de/10009203827