Search Results - subject:"exponential utility"

The store-of-value-function of money as a component of household risk management

Größl, Ingrid; Fritsche, Ulrich - 2006

. Assuming exponential utility allows us to derive an explicit relationship between optimal money holdings, the household …

Persistent link: https://www.econbiz.de/10010426370

Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes

Sladký, Karel - In: Czech Economic Review 7 (2013) 3, pp. 146-161

the stream of rewards generated by the Markov processes is evaluated by an exponential utility function with a given risk … establish necessary and sufficient optimality conditions for maximal (or minimal) growth rate of expectation of the exponential … utility function, along with mean value of the corresponding certainty equivalent, that take into account not only the …

Persistent link: https://www.econbiz.de/10010827820

Pareto utility

Ikefuji, Masako; Laeven, Roger; Magnus, Jan; Muris, Chris - In: Theory and Decision 75 (2013) 1, pp. 43-57

In searching for an appropriate utility function in the expected utility framework, we formulate four properties that we want the utility function to satisfy. We conduct a search for such a function, and we identify Pareto utility as a function satisfying all four desired properties. Pareto...

Persistent link: https://www.econbiz.de/10010865821

Continuous equilibrium in affine and information-based capital asset pricing models

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - In: Annals of Finance 9 (2013) 4, pp. 725-755

tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential … utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents’ optimal …

Persistent link: https://www.econbiz.de/10010866522

EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS

LUDKOVSKI, MICHAEL; SHEN, QUNYING - In: International Journal of Theoretical and Applied … 16 (2013) 07, pp. 1350043-1

We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market...

Persistent link: https://www.econbiz.de/10010720356

Entropy coherent and entropy convex measures of risk

Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 38 (2013) 2, pp. 265-293

Persistent link: https://www.econbiz.de/10009751526

Decision-making of portfolio investment with linear plus double exponential utility function

Zhou, Qingjian; Jiao, Jia; Niu, Datian; Yang, Deli - In: RAIRO 47 (2013) 4, pp. 361-370

Persistent link: https://www.econbiz.de/10010493360

European option pricing with liquidity shocks

Ludkovski, Michael; Shen, Qunying - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-30

Persistent link: https://www.econbiz.de/10010233260

Optimal expected utility of wealth for two dependent classes of insurance business

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Theoretical economics letters 3 (2013) 2, pp. 90-95

Persistent link: https://www.econbiz.de/10010239638

Continuous equilibrium in affine and information-based capital asset pricing models

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - In: Annals of finance 9 (2013) 4, pp. 725-755

Persistent link: https://www.econbiz.de/10010196576