Search Results - subject:"Utility functions"

Did you mean: subject:"Utility function" (6,959 results)

Lewbel, Arthur - Department of Economics, Boston College - 2000

Past parametric tests of demand system rank employed polynomial Engel curve systems. However, by Gorman's (1981) theorem, the maximum possible rank of a utility derived polynomial demand system is three. The present paper proposes a class of demand systems that are utility derived, are close to...

Persistent link: https://www.econbiz.de/10005102649

Power Risk Aversion Utility Functions

Xie, Danyang - In: Annals of Economics and Finance 1 (2000) 2, pp. 265-282

This paper introduces a new class of utility functions---the power risk aversion. It is shown that the CRRA and CARA … utility functions are both in this class. The implications of the PRA utility functions are explored in the context of growth …

Persistent link: https://www.econbiz.de/10009131600

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar - Université Paris-Dauphine (Paris IX) - 2008

law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an … characterization in the case where both agents' utility functions are comonotone. The general form of the optimal contracts turns out … the robustness of this type of contracts to more general utility functions, we introduce a new notion of strict risk …

Persistent link: https://www.econbiz.de/10010905090

EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS

FILIPOVIĆ, DAMIR; KUPPER, MICHAEL - In: International Journal of Theoretical and Applied … 11 (2008) 03, pp. 325-343

utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully …

Persistent link: https://www.econbiz.de/10005080451

Hedging effectiveness of the Athens stock index futures contracts

Kavussanos, Manolis; Visvikis, Ilias - In: The European Journal of Finance 14 (2008) 3, pp. 243-270

favourably with results in other international stock index futures markets. Estimation of investor utility functions and …

Persistent link: https://www.econbiz.de/10005268722

The poverty of growth with interdependent utility functions

Komlos, John; Salamon, Peter - In: Journal of Behavioral and Experimental Economics … 37 (2008) 6, pp. 2242-2247

We argue that with interdependent utility functions growth can lead to a decline in total welfare of a society if the …

Persistent link: https://www.econbiz.de/10005281207

Utility function estimation: The entropy approach

Dionisio, Andreia; Reis, A. Heitor; Coelho, Luis - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3862-3867

The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker’s preferences. In order to obtain such utility values it is necessary to establish an analogy between probability and utility through the notion of a utility...

Persistent link: https://www.econbiz.de/10010588426

Manipulation of Preferences and Relative Utilitarianism

Sobel, Joel - Department of Economics, University of California-San … - 1998

Given n agents with von Neumann-Morgenstern utility functions who wish to divide m commodities, consider the n …-person noncooperative game with strategies consisting of concave, increasing von Neumann-Morgenstern utility functions, and whose outcomes …

Persistent link: https://www.econbiz.de/10010536471

A Note on Generating Globally Regular Indirect Utility Functions

Conniffe, Denis - In: The B.E. Journal of Theoretical Economics 7 (2007) 1

Despite their scarcity in the literature, an abundance of globally regular indirect utility functions, involving as …

Persistent link: https://www.econbiz.de/10014589103

Portfolio optimization under the Value-at-Risk constraint

Pirvu, Traian A. - In: Quantitative Finance 7 (2007) 2, pp. 125-136

In this paper we analyse the effects arising from imposing a Value-at-Risk constraint in an agent's portfolio selection problem. The financial market is incomplete and consists of multiple risky assets (stocks) plus a risk-free asset. The stocks are modelled as exponential Brownian motions with...

Persistent link: https://www.econbiz.de/10005462694