Search Results - subject:"utility function"

Empirical Pricing Kernels and Investor Preferences

Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

regimes. JEL classification: G12, G13, C50 Keywords: Utility function, pricing kernel, behavioral finance, risk aversion, risk …. Bernoulli used such terms as risk aversion and risk premium and proposed a concave (logarithmic) utility function, see Bernoulli … (1944). A utility function relates some observable variable, in most cases consumption, and an unobservable utility level …

Persistent link: https://www.econbiz.de/10005489971

Development of Interactive Support Systems for Multiobjective Decision Analysis under Uncertainty

Seo, Fumiko; Hamamoto, Hidenobu - Institute of Economic Research, Kyoto University - 2007

This paper presents interactive multiobjective decision analysis support systems, called MIDASS, which is a newly developed interactive computer program for strategic use of expected utility theory. Decision analysis based on expected utility hypothesis is an established prescriptive approach...

Persistent link: https://www.econbiz.de/10005385309

Ranking Completely Uncertain Decisions by the Uniform Expected Utility Criterion

Gravel, Nicolas; Marchant, Thierry; Sen, Arunava - Groupement de Recherche en Économie Quantitative … - 2007

decisions on the basis of the expected utility of their consequences for some utility function. …

Persistent link: https://www.econbiz.de/10004969046

Indeterminacy in a monetary economy with heterogeneous agents

Hori, Katsuhiko - Volkswirtschaftliche Fakultät, … - 2007

money-in-the-utility function model. Contrary to ealier studies, which mainly concern indeterminacy in connection with …

Persistent link: https://www.econbiz.de/10011111032

From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples

Ya'acov Ritov; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

problem. Risk aversion. Ex- ponential mixture. Empirical pricing kernel. DAX. Market utility function. AMS subject … apparent utility behavior as function of individual investors utility function. In this model q is the risk neutral density of … the pricing kernel q=p is the utility function used by a representing individual. Knowing p and q yields the exact form of …

Persistent link: https://www.econbiz.de/10005652736

SHOULD THE UTILITY FUNCTION BE DITCHED?

Dominique, C-Rene - Volkswirtschaftliche Fakultät, … - 2007

This note takes a retrospective look at the Utility Construct still in use in economic science and compares it to a new approach based on recent findings in neuroscience. The results show that it is more natural and more compelling to go from the preference order to the price vector. Thus making...

Persistent link: https://www.econbiz.de/10005617018

Indirect Elicitation of Non-Linear Multiattribute Utility Functions. A Dual Procedure Combined with DEA.

André, Francisco J. - Departamento de Economía, Universidad Pablo de Olavide - 2007

duality results. The idea is to obtain a utility function which is compatible with the observed behaviour of decision makers …

Persistent link: https://www.econbiz.de/10005762870

The Relationship Between Risk Attitudes and Heuristics in Search Tasks: A Laboratory Experiment

Schunk, Daniel; Winter, Joachim - Volkswirtschaftliche Fakultät, … - 2007

Experimental studies of search behavior suggest that individuals stop searching earlier than predicted by the optimal, risk-neutral stopping rule. Such behavior could be generated by two different classes of decision rules: rules that are optimal conditional on utility functions departing from...

Persistent link: https://www.econbiz.de/10005187339

Portfolio Selection under Parameter Uncertainty using a Predictive Distribution

Im, Ji Jung; Lim, Hyun Soo; Choi, Sung sub; Nikitin, Denis - In: Annals of Economics and Finance 8 (2007) 2, pp. 305-312

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We...

Persistent link: https://www.econbiz.de/10009228656

Utility-based Pricing of the Weather Derivatives

Hamisultane, Hélène - HAL - 2007

Since the underlying of the weather derivatives is not a traded asset, these contracts cannot be evaluated by the traditional financial theory. Cao and Wei (2004) price them by using the consumption-based asset pricing model of Lucas (1978) and by assuming different values for the constant...

Persistent link: https://www.econbiz.de/10008793897