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Search: subject:"exponential utilities"
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Hamilton-Jacobi-Bellman equation
2
Theorie
2
Theory
2
Analysis of variance
1
CAPM
1
Continuous time
1
Exponential utilities
1
Hölder spaces
1
Incomplete market
1
Interest rate
1
Investition
1
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1
Legendre transform
1
Market price of risk
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Non-trivial curved structures
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Nutzen
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Option pricing theory
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Optionspreistheorie
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Portfolio selection
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Portfolio-Management
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Reinsurance
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Risikoprämie
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Risk
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Risk premium
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Rückversicherung
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Unvollkommener Markt
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Utility
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Varianzanalyse
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Yield curve
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Zins
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Zinsstruktur
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characterization of utilities
1
completely monotone utilities
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constant elasticity of variance model
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exponential utilities
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mixed exponential utilities
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optimal investment
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portfolio selection
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power and exponential utilities maximization
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Rong, Ximin
2
Zhao, Hui
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Brockett, Patrick L.
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Dong, Xue
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Golden, Linda L.
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Larsen, Kasper
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Finance and stochastics
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Management Science
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Scandinavian actuarial journal
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ECONIS (ZBW)
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Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein-Uhlenbeck process
Dong, Xue
;
Rong, Ximin
;
Zhao, Hui
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 565-597
Persistent link: https://www.econbiz.de/10014383862
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2
On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
Zhao, Hui
;
Rong, Ximin
- In:
IMA journal of management mathematics
28
(
2017
)
2
,
pp. 299-320
Persistent link: https://www.econbiz.de/10011723286
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3
Taylor approximation of incomplete Radner equilibrium models
Choi, Jin Hyuk
;
Larsen, Kasper
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 653-679
Persistent link: https://www.econbiz.de/10011418332
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4
A Class of Utility Functions Containing all the Common Utility Functions
Brockett, Patrick L.
;
Golden, Linda L.
- In:
Management Science
33
(
1987
)
8
,
pp. 955-964
simple representation via mixtures of
exponential
utilities
is provided for this class which is both mathematically …
Persistent link: https://www.econbiz.de/10009218378
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