Search Results - subject:"utility function"

Creedy, John; Slottje, Daniel Jonathan - 1991

Persistent link: https://www.econbiz.de/10000833643

Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - 2002

conditions on preferences that lead to more cautious behavior. We also develop the concept of the affiliated utility function …, which we define as the composition of the underlying utility function and the exponential function. This allows us to adapt …

Persistent link: https://www.econbiz.de/10010307508

Multiplicative background risk

Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - Wissenschaftszentrum Berlin für Sozialforschung (WZB) - 2002

Persistent link: https://www.econbiz.de/10009370657

Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution

Francesco, MENONCIN - Institut de Recherche Économique et Sociale (IRES), … - 2002

In an incomplete financial market where an investor maximizes the expected HARA utility of his terminal real wealth, we present an algebraic approximated solution for the optimal portfolio composition. We take into account : (i) a (finite) set of assets, (ii) a (finite) set of state variables...

Persistent link: https://www.econbiz.de/10004985013

The Allocation of Assets Under Higher Moments

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002

We evaluate how deviations from normality may affect the allocation of assets. A Taylor expansion of expected utility allows us to focus on certain moments and to compute numerically the optimal portfolio allocation. A decisive advantage of our approach is that it remains operational even if a...

Persistent link: https://www.econbiz.de/10005827313