Search Results - subject:"Utility maximization."

The opportunity cost of mean-variance choice under estimation risk

Simaan, Yusif E. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 382-391

Persistent link: https://www.econbiz.de/10010356752

Dynamic portfolio optimization with a defaultable security and regime-switching

Capponi, Agostino; Figueroa-López, José E. - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 207-249

Persistent link: https://www.econbiz.de/10010357378

Unconstrained strategies and the variance-kurtosis trade-off

Kumiega, Andrew; Van Vliet, Benjamin; Xanthopoulos, … - In: Applied financial economics 24 (2014) 13/15, pp. 1051-1061

Persistent link: https://www.econbiz.de/10010415726

Utility theory front to back-inferring utility from agents' choices

Cox, Alexander M. G.; Hobson, David G.; Obłój, Jan - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10010364759

Equity portfolio insurance against a benchmark : setting, replication and optimality

Bahaji, Hamza - In: Economic modelling 40 (2014), pp. 382-391

Persistent link: https://www.econbiz.de/10010425588

Fluid limits for bandwith-sharing networks in overload

Borst, Sem; Egorova, Regina; Zwart, Bert - In: Mathematics of operations research 39 (2014) 2, pp. 533-560

Persistent link: https://www.econbiz.de/10010384180

Investors' preference towards risk : evidence from the Taiwan stock and stock index futures markets

Qiao, Zhuo; Clark, Ephraim; Wong, Wing Keung - In: Accounting and finance : journal of the Accounting … 54 (2014) 1, pp. 251-274

Persistent link: https://www.econbiz.de/10010342382

The irresistible charm of the micro-foundations dogma or the overwhelming force of the discipline's hard core?

Skouras, Thanos S.; Kitromilides, Yiannis - In: European journal of economics and economic policies : … 11 (2014) 1, pp. 67-79

Persistent link: https://www.econbiz.de/10010511575

Facelifting in utility maximization

Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - 2014

at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the … lower- and upper-hedging problems, and somewhat unexpectedly, a facelift turns out to exist in utility-maximization despite …

Persistent link: https://www.econbiz.de/10010442910

Explicit solutions of optimal consumption, investment and insurance problems with regime switching

Zou, Bin; Cadenillas, Abel - In: Insurance / Mathematics & economics 58 (2014), pp. 159-167

Persistent link: https://www.econbiz.de/10010437576

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