Search Results - subject:"Utility Function"

Cautious expected utility and the certainty effect

Cerreia-Vioglio, Simone; Dillenberger, David; Ortoleva, … - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 693-728

Persistent link: https://www.econbiz.de/10011350625

Dynamic choice with constant source-dependent relative risk aversion

Skiadas, Costis - In: Economic theory : official journal of the Society for … 60 (2015) 3, pp. 393-422

Persistent link: https://www.econbiz.de/10011376466

Rationalizing investors' choices

Bernard, Carole; Chen, Jit Seng; Vanduffel, Steven - In: Journal of mathematical economics 59 (2015), pp. 10-23

Persistent link: https://www.econbiz.de/10011573437

Differentiability of von Neumann-Morgenstern utility functions

Nakamura, Yutaka - In: Journal of mathematical economics 60 (2015), pp. 74-80

Persistent link: https://www.econbiz.de/10011573746

Weighted almost stochastic dominance : revealing the preferences of most decision makers in the St. Petersburg paradox

Tan, Chin Hon - In: Decision analysis : a journal of the Institute for … 12 (2015) 2, pp. 74-80

Persistent link: https://www.econbiz.de/10011289911

Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility

Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382

Persistent link: https://www.econbiz.de/10011347485

Behavioral Characterization of Weighted (Separable) Utility

Blavatskyy, Pavlo R. - 2013

Nontrivial decision problems typically involve a trade-off among multiple attributes of choice options. One simple way of resolving such trade-offs is to aggregate multiple attributes into one real-valued index, known as weighted or separable utility. Applications of weighted utility can be...

Persistent link: https://www.econbiz.de/10014155665

Discrete Choice and Stochastic Utility Maximization

Koning, Ruud Hans; Ridder, Geert - 2013

Discrete choice models are usually derived from the assumption of random utility maximization. We consider the reverse problem, whether choice probabilities are consistent with maximization of random utilities. This leads to tests that consider the variation of these choice probabilities with...

Persistent link: https://www.econbiz.de/10014111356

Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers

Kaynar, B.; Birbil, S. Ilker; Frenk, J. B. G. - 2013

In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...

Persistent link: https://www.econbiz.de/10014026080

Archimedean Copulas Derived from Morgenstern Utility Functions

Spreeuw, Jaap - 2013

utility function. If we derive the generator itself in this way, dependence properties of an Archimedean copula that are often … taken to be desirable, match with generally sought after properties of the corresponding utility function. If, on the other … hand, we instead derive the inverse of the generator from the utility function, there is a link between the magnitude of …

Persistent link: https://www.econbiz.de/10013086897