Search Results - subject:"Utility functions"

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Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve

Henryk, Kowgier - In: Folia Oeconomica Stetinensia 6 (2007) 1, pp. 99-106

-profit) that are connected with exponential utility functions being very frequently preferred in practice by investors. …

Persistent link: https://www.econbiz.de/10010861951

Using Utility Functions to Model Risky Bonds

Goard, Joanna - In: Applied Mathematical Finance 14 (2007) 3, pp. 261-289

This paper prices defaultable bonds by incorporating inherent risks with the use of utility functions. By allowing risk … found for the power-law and log utility functions under the interest-rate dynamics of the extended Vasicek and CIR models. …

Persistent link: https://www.econbiz.de/10005639877

A Note on Generating Globally Regular Indirect Utility Functions

Conniffe, Denis - In: Topics in Theoretical Economics 7 (2007) 1, pp. 1268-1268

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

Persistent link: https://www.econbiz.de/10005751188

Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory

Pézier, Jacques - Henley Business School, University of Reading - 2007

Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...

Persistent link: https://www.econbiz.de/10008542356

Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve

Henryk, Kowgier - In: Folia Oeconomica Stetinensia 6 (2007) 1, pp. 99-106

-profit) that are connected with exponential utility functions being very frequently preferred in practice by investors. …

Persistent link: https://www.econbiz.de/10010534114

Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints

Carlier, Guillaume; Dana, Rose-Anne - In: Statistics & Risk Modeling 24 (2006) 1, pp. 127-152

SUMMARY This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence solutions,...

Persistent link: https://www.econbiz.de/10014621315

The generalized value at risk admissible set: constraint consistency and portfolio outcomes

Bowden, Roger - In: Quantitative Finance 6 (2006) 2, pp. 159-171

classic Von Neumann-Morgenstern utility functions for money. A re-specification is suggested to make it so that gives a …

Persistent link: https://www.econbiz.de/10005495806

Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints

Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine (Paris IX) - 2006

This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence solutions, optimality...

Persistent link: https://www.econbiz.de/10011122231

Generating complete all-day activity plans with genetic algorithms

Charypar, David; Nagel, Kai - In: Transportation 32 (2005) 4, pp. 369-397

Persistent link: https://www.econbiz.de/10010867374

Increasing quasiconcave co-radiant functions with applications in mathematical economics

Martínez-Legaz, Juan Enrique; Rubinov, Alexander M.; … - In: Mathematical Methods of Operations Research 61 (2005) 2, pp. 261-280

production functions and utility functions are discussed. Copyright Springer-Verlag 2005 …

Persistent link: https://www.econbiz.de/10010999761