Search Results - subject:"utility function"

Optimising a nonlinear utility function in multi-objective integer programming

Ozlen, Melih; Azizoğlu, Meral; Burton, Benjamin - In: Journal of Global Optimization 56 (2013) 1, pp. 93-102

In this paper we develop an algorithm to optimise a nonlinear utility function of multiple objectives over the integer … utility value. This is done using already known solutions, linear programming relaxations, utility function inversion, and …

Persistent link: https://www.econbiz.de/10010994116

An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments

Badaoui, Mohamed; Fernández, Begoña - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 1-13

In this paper, we study an optimal investment problem of an insurance company with a Cramér–Lundberg risk process and investments portfolio consisting of a risky asset with stochastic volatility and a money market. The asset prices are affected by a correlated economic factor, modeled as...

Persistent link: https://www.econbiz.de/10011046582

Household life-cycle asset allocation and background risk of labor income

Cai, Mingchao; Zhao, Jun; Pan, Rulu; Huang, Haozhi - In: China Finance Review International 3 (2013) April, pp. 117-130

Purpose – The purpose of this paper is to empirically analyze the relationship between risky asset allocation and background risk of Chinese residents. Design/methodology/approach – Using Chinese macroeconomic data, this study uses numerical method to solve dynamic stochastic optimal...

Persistent link: https://www.econbiz.de/10010688407

A note on parental time allocation

Minagawa, Junichi; Upmann, Thorsten - In: Labour Economics 25 (2013) C, pp. 153-157

finding, though, imposes substantial restrictions on reasonable specifications of a mother's utility function. …

Persistent link: https://www.econbiz.de/10010703113

When Ross meets Bell: The linex utility function

Denuit, Michel M.; Eeckhoudt, Louis; Schlesinger, Harris - In: Journal of Mathematical Economics 49 (2013) 2, pp. 177-182

behavior of the stronger measure of risk aversion also give rise to the linex utility function which belongs to the class of …

Persistent link: https://www.econbiz.de/10010662576

Bank interest margin management based on a path-dependent Cobb–Douglas utility framework

Tsai, Jeng-Yan - In: Economic Modelling 35 (2013) C, pp. 751-762

-dependent Cobb–Douglas utility function. A path dependency implies that the bank equity return can be knocked out whenever a legally …

Persistent link: https://www.econbiz.de/10010719362

No Good Deals - No Bad Models

Nina, Boyarchenko; Mario, Cerrato; John, Crosby; … - Scottish Institute for Research in Economics (SIRE) - 2013

uncertainty. We construct a notion of a model- uncertainty-induced utility function and show that model uncertainty increases the … investor's eff ective risk aversion. Using the model-uncertainty-induced utility function, we extend the \No Good Deals …

Persistent link: https://www.econbiz.de/10010722654

Propuesta de demostración de existencia y unicidad de la funci´pm de utilidad

Olvera, Juan Marcos Ortíz - In: Economía informa (2013) 381, pp. 64-73

Persistent link: https://www.econbiz.de/10010210318

Local utility functions

Bardsley, Peter - 1992

Persistent link: https://www.econbiz.de/10000839566

Portfolio characterization of risk aversion

Werner, Jan - 1992

Persistent link: https://www.econbiz.de/10000845849