Search Results - subject:"Utility Maximization"

Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model

Escobar-Anel, Marcos; Havrylenko, Yevhen; Zagst, Rudi - In: Annals of Operations Research 347 (2025) 3, pp. 1265-1309

We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an … modified utility function of a vega-neutral financial derivative on the optimal terminal wealth in the unconstrained utility-maximization …

Persistent link: https://www.econbiz.de/10015436484

Portfolio optimization beyond utility maximization : the case of driftless markets

Večeř, Jan; Richard, Mark; Taylor, Stephen - In: The European journal of finance 31 (2025) 3, pp. 318-347

Persistent link: https://www.econbiz.de/10015325194

Mean-variance optimization for participating life insurance contracts

Fießinger, Felix; Stadje, Mitja - In: Insurance : mathematics and economics 122 (2025), pp. 230-248

Persistent link: https://www.econbiz.de/10015432084

Scalarized utility-based multi-asset risk measures

Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - In: Scandinavian actuarial journal 2025 (2025) 3, pp. 271-299

Persistent link: https://www.econbiz.de/10015534482

Two-stage budgeting through utility maximization and expenditure minimization under homogeneous separability

Atoo, Ashley; Codognato, Giulio - 2025

Persistent link: https://www.econbiz.de/10015482741

Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift

Gabih, Abdelali; Kondakji, Hakam; Wunderlich, Ralf - In: Annals of Operations Research 341 (2024) 2, pp. 897-936

analysis. Drift estimates are based on Kalman filter techniques. They are used to transform a power utility maximization …

Persistent link: https://www.econbiz.de/10015371278

Revealed preference and revealed preference cycles : a survey

Dziewulski, Paweł; Lanier, Joshua; Quah, John K.-H. - In: Journal of mathematical economics 113 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10015071998

Robust utility maximization with nonlinear continuous semimartingales

Criens, David; Niemann, Lars - In: Mathematics and Financial Economics 17 (2023) 3, pp. 499-536

In this paper we study a robust utility maximization problem in continuous time under model uncertainty. The model … characteristics are prescribed by a set-valued function that depends on time and path. We show that the robust utility maximization …

Persistent link: https://www.econbiz.de/10015197752

What to offer if consumers do not want what they need? A simultaneous evaluation approach with an application to retirement savings products

Ruß, Jochen; Schelling, Stefan; Schultze, Mark B. - In: European Actuarial Journal 13 (2023) 2, pp. 607-635

Standard economic models of rational decision making provide information on how people should decide. In practice, human decisions are influenced by numerous behavioral patterns that lead to systematic deviations from rationally optimal behavior. In the context of retirement savings, this can...

Persistent link: https://www.econbiz.de/10015210597

Can decision field theory enhance our understanding of health-based choices? : evidence from risky health behaviors

Meester, David A. J.; Hess, Stephane; Buckell, John; … - In: Health economics 32 (2023) 8, pp. 1710-1732

Persistent link: https://www.econbiz.de/10014329196