Search Results - subject:"utility maximization"

Forward-backward systems for expected utility maximization

Horst, Ulrich; Hu, Ying; Imkeller, Peter; Reveillac, Anthony - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach … in which we reduce the utility maximization prob- lem with general utility to the study of a fully-coupled Forward …

Persistent link: https://www.econbiz.de/10010607141

An Experiment on Consumption Responses to Future Prices and Interest Rates

Luhan, Wolfgang J.; Roos, Michael W.M.; Scharler, Johann - Rheinisch-Westfälisches Institut für … - 2011

We design an experiment to investigate the influence of announced future variations in interest rates and prices on consumption decisions. In an experimental implementation of the discounted utility model, the subjects learn the entire paths of inflation and interest rates prior to deciding on a...

Persistent link: https://www.econbiz.de/10009018045

Afriat’s theorem and some extensions to choice under uncertainty

Diewert, Walter E. - 2011

Persistent link: https://www.econbiz.de/10009427309

Context and decision : utility on a union of mixture spaces

O’Callaghan, Patrick - 2011

Persistent link: https://www.econbiz.de/10009389675

Portfolio optimization under nonlinear utility

Heyne, Gregor; Kupper, Michael; Tangpi, Ludovic - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37

Persistent link: https://www.econbiz.de/10011524910

Ambiguity in risk preferences in robust stochastic optimization

Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225

Persistent link: https://www.econbiz.de/10011503281

Parameters measuring bank risk and their estimation

Tsionas, Efthymios G. - In: European journal of operational research : EJOR 250 (2016) 1, pp. 291-304

Persistent link: https://www.econbiz.de/10011441404

Optimal investment and consumption under partial information

Lindensjö, Kristoffer - In: Mathematical methods of operations research 83 (2016) 1, pp. 87-107

Persistent link: https://www.econbiz.de/10011446622

A practitioners’ guide to gravity models of international migration

Beine, Michel; Bertoli, Simone; Moraga, Jesús … - In: The world economy : the leading journal on … 39 (2016) 4, pp. 496-512

Persistent link: https://www.econbiz.de/10011509567

Revenue sharing in network utility maximization problems

Amigo, Isabel; Belzarena, Pablo; Vaton, Sandrine - In: Netnomics 17 (2016) 3, pp. 255-284

Persistent link: https://www.econbiz.de/10011720356