Search Results - subject:"Utility maximization."

Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs

Atkinson, Colin; Storey, Emmeline - In: Applied Mathematical Finance 17 (2010) 4, pp. 323-357

Portfolio theory covers different approaches to the construction of a portfolio offering maximum expected returns for a given level of risk tolerance where the goal is to find the optimal investment rule. Each investor has a certain utility for money which is reflected by the choice of a utility...

Persistent link: https://www.econbiz.de/10008675006

Optimal Basket Liquidation for CARA Investors is Deterministic

Schied, Alexander; Schoneborn, Torsten; Tehranchi, Michael - In: Applied Mathematical Finance 17 (2010) 6, pp. 471-489

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...

Persistent link: https://www.econbiz.de/10008675008

ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION

OWARI, KEITA - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1075-1101

measures. This is a robust utility maximization problem with a contingent claim. We first consider the dual problem which is …

Persistent link: https://www.econbiz.de/10008725900

CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

ANKIRCHNER, STEFAN; BLANCHET-SCALLIET, CHRISTOPHETTE; … - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1103-1129

This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward...

Persistent link: https://www.econbiz.de/10008725902

Exponential utility maximization under partial information

Mania, Michael; Santacroce, Marina - In: Finance and Stochastics 14 (2010) 3, pp. 419-448

Persistent link: https://www.econbiz.de/10008456137

Interest rate risk hedging demand under a Gaussian framework

Attaoui, Sami; Six, Pierre - In: Journal of Financial Transformation 28 (2010), pp. 103-107

This article analyzes the state variables Merton-Breeden hedging demand for an investor endowed with a utility function over both intermediate consumption and terminal wealth. Based on the three-factor model of Babbs and Nowman (1999), we show that this demand can be simply expressed as weighted...

Persistent link: https://www.econbiz.de/10008456506

Modeling the impact of technological change on nutrition and marketed surplus

Ahmed, Mohamed M.; Preckel, Paul V.; Baker, Timothy G.; … - In: Agricultural Economics of Agricultural Economists 25 (2001) 1

control techniques are being introduced. The expected direct utility maximization model allows the estimation of the effects … on consumption and nutrition in a subsistence-farming context. The method is based on expected direct utility … maximization (EDUM) formulation and incorporates subsistence quantities for broad aggregates of protein, calories, and other …

Persistent link: https://www.econbiz.de/10011069379

Bayesian Analysis of Nested Logit Model by Markov Chain Monte Carlo

Lahiri, Kajal; Gao, Jian - University at Albany, SUNY, Department of Economics - 2001

We develop a Markov Chain Monte Carlo (MCMC) algorithm for estimating nested logit models in a Bayesian framework. Appropriate "heating target" and reparameterization techniques are adopted for fast mixing. For illustrative purposes, we have implemented the algorithm on two real-life examples...

Persistent link: https://www.econbiz.de/10008517727

Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets

Li, Ping; Xia, Jianming; Yan, Jia-an - In: Annals of Economics and Finance 2 (2001) 2, pp. 445-465

In this paper we study the expected utility maximization problem for discretetime incomplete financial markets. As …

Persistent link: https://www.econbiz.de/10009144916

The Political Economy of Chinese “Federalism”: New Analytical Directions

Mushkat, Miron; Mushkat, Roda - In: Global Economic Review 38 (2009) 1, pp. 13-28

Decentralized politico-administrative structures may be dissected and assessed by employing a variety of conceptual tools. In the case of China, researchers have displayed a distinct preference for operating within a framework grounded in political sociology. Substantial insights have been...

Persistent link: https://www.econbiz.de/10004966555