Search Results - subject:"Utility maximization."

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander; Schöneborn, Torsten - Volkswirtschaftliche Fakultät, … - 2007

We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and Chriss (2000). We show that the expected utility of...

Persistent link: https://www.econbiz.de/10005835745

Hedging global environment risks: An option based portfolio insurance

Palma, André de; Prigent, Jean-Luc - Théorie Économique, Modélisation, Application … - 2007

This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maximize their expected utilities defined on financial and environmental asset values. The optimal investment is...

Persistent link: https://www.econbiz.de/10005695713

Living-arrangement and university decisions of Dutch young adults

Sá, Carla; Florax, Raymond; Rietveld, Piet - Núcleo de Investigação em Políticas Económicas … - 2007

secondary education academic diploma. A random utility maximization nested logit model of living-arrangement and university …

Persistent link: https://www.econbiz.de/10005704700

Efficient Trading Strategies

Jouini, Elyès; Porte, Vincent - HAL - 2007

In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary...

Persistent link: https://www.econbiz.de/10008793718

Efficient Trading Strategies with Transaction Costs

Jouini, Elyès; Porte, Vincent - HAL - 2007

utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity …

Persistent link: https://www.econbiz.de/10008793933

Estimation with the nested logit model: Specifications and software particularities

Silberhorn, Nadja; Boztuğ, Yasemin; Hildebrandt, Lutz - 2006

has not received adequate attention. The utility maximization nested logit (UMNL) model and the non-normalized nested …

Persistent link: https://www.econbiz.de/10010272735

On the Pricing and Hedging of Long Dated Zero Coupon Bonds

Platen, Eckhard - Finance Discipline Group, Business School - 2006

The pricing and hedging of long dated derivative contracts is a challenging area of research. As a result of utility indifference pricing for general payoffs the growth optimal portfolio turns out to be the appropriate numeraire or benchmark with the real world probability measure as...

Persistent link: https://www.econbiz.de/10004984571

Estimation with the Nested Logit Model: Specifications and Software Particularities

Silberhorn, Nadja; Boztug, Yasemin; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

has not received adequate attention. The utility maximization nested logit (UMNL) model and the non-normalized nested … speciflcations of the nested logit model has not received adequate at- tention. The utility maximization nested logit (UMNL) model … model, utility maximization nested logit, non- normalized nested logit, simulation study JEL-Codes: C13, C51, C87, M31 1 …

Persistent link: https://www.econbiz.de/10005677976

The relationship between ownership structure and club performance in the English Premier League

Wilson, Robert; Plumley, Daniel; Ramchandani, Girish - In: Sport, Business and Management: An International Journal 3 (2013) 1, pp. 19-36

Purpose – The purpose of this paper is three‐fold. First, to explore the relationship between the financial and sporting performance of clubs competing in the English Premier League (EPL). Second, to investigate the effect of different models of EPL club ownership on financial and league...

Persistent link: https://www.econbiz.de/10015006760

Robust utility maximization for a diffusion market model with misspecified coefficients

Tevzadze, Revaz; Toronjadze, Teimuraz; Uzunashvili, Tamaz - In: Finance and Stochastics 17 (2013) 3, pp. 535-563

The paper studies the robust maximization of utility from terminal wealth in a diffusion financial market model. The underlying model consists of a tradable risky asset whose price is described by a diffusion process with misspecified trend and volatility coefficients, and a non-tradable asset...

Persistent link: https://www.econbiz.de/10010847038