Search Results - subject:"expected-utility maximization"

The mean-variance rule for investors with reverse S-shaped utility

Wong, Wing Keung; Yeung, David W. K.; Lu, Richard - In: Annals of financial economics 18 (2023) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10014442384

New development on the third order stochastic dominance for risk-averse and risk-seeking investors with application in risk management

Chan, Raymond H.; Guo, Xu; Clark, Ephraim; Wong, Wing Keung - 2020

Persistent link: https://www.econbiz.de/10012384554

Optimal asset allocation under search frictions and stochastic interest rate

Wang, Ning; Zhu, Song-Ping; Elliott, Robert J. - In: Quantitative finance 23 (2023) 6, pp. 1019-1033

Persistent link: https://www.econbiz.de/10014304432

New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management

Chan, Raymond H.; Clark, Ephraim; Guo, Xu; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 22 (2020) 2, pp. 108-132

Persistent link: https://www.econbiz.de/10012297611

Revealed preference analysis of expected utility maximization under prizeprobability trade-offs

Cherchye, Laurens; Demuynck, Thomas; Rock, Bram de; … - 2019

Persistent link: https://www.econbiz.de/10012244058

Revealed preference analysis of expected utility maximization under prize-probability trade-offs

Cherchye, Laurens; Demuynck, Thomas; Rock, Bram de; … - 2019

Persistent link: https://www.econbiz.de/10012179628

Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors

Guo, Xu; Wong, Wing-Keung; Zhu, Lixing - Volkswirtschaftliche Fakultät, … - 2014

In this paper we first develop a theory of almost stochastic dominance for risk-seeking investors to the first three orders. Thereafter, we study the relationship between the preferences of almost stochastic dominance for risk-seekers with that for risk averters.

Persistent link: https://www.econbiz.de/10011108494

Revealed preference analysis of expected utility maximization under prize-probability trade-offs

Cherchye, Laurens; Demuynck, Thomas; Rock, Bram de; … - In: Journal of mathematical economics 99 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013365544

Optimal pair-trade execution with generalized cross-impact

Ohnishi, Masamitsu; Shimoshimizu, Makoto - In: Asia Pacific financial markets 29 (2022) 2, pp. 253-289

Persistent link: https://www.econbiz.de/10013260071

Portfolio optimization under multivariate affine generalized hyperbolic distributions

Wang, Chou-Wen; Liu, Kai; Li, Bin; Ken Seng Tan - In: International review of economics & finance : IREF 80 (2022), pp. 49-66

Persistent link: https://www.econbiz.de/10013341737

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