Search Results - subject:"utility maximization"

Wealth-Driven Competition in a Speculative Financial Market: Examples with Maximizing Agents

Anufriev, Mikhail - Laboratory of Economics and Management (LEM), Scuola … - 2005

Bottazzi (2005) can be used inside the classical setting with demand derived from utility maximization. Consequently, some of … be used inside the classical setting with demand derived from utility maximization. Consequently, some of the previous …. Keywords: Asset Pricing Model, CRRA Framework, Equilibrium Market Line, Ratio- nal Choice, Expected Utility Maximization, Mean …

Persistent link: https://www.econbiz.de/10005292650

The Shannon information of filtrations and the additional logarithmic utility of insiders

Ankirchner, Stefan (contributor); … - 2005

information inequalities. -- enlargement of filtration ; logarithmic utility ; utility maximization ; heterogeneous information … In this preparatory section we define the financial market model and recall some basic facts about expected utility … maximization. Our favorite utility function will be the logarithmic one, for which we will then compare the maximal expected …

Persistent link: https://www.econbiz.de/10003148169

On the functional local linear estimate for spatial regression

Chouaf, Abdelhak; Laksaci, Ali - In: Statistics & Risk Modeling 29 (2012) 3, pp. 189-214

Abstract Consider Z i = ( X i , Y i ), i ∈ ℤ N be an F×ℝ-valued measurable strictly stationary spatial process, where F is a semi-metric space. We study the spatial covariation between X i and Y i by using the local linear estimate of the functional spatial regression E[ Y i | X i...

Persistent link: https://www.econbiz.de/10014622221

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process

Lin, Xiang; Zhang, Chunhong; Siu, Tak - In: Computational Statistics 75 (2012) 1, pp. 83-100

We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zero-sum, stochastic differential game between the...

Persistent link: https://www.econbiz.de/10010759576

Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers

Temme, Johannes - In: Computational Statistics 76 (2012) 1, pp. 21-41

We consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Lévy model …

Persistent link: https://www.econbiz.de/10010847680

Random Regret Minimization: Exploration of a New Choice Model for Environmental and Resource Economics

Thiene, Mara; Boeri, Marco; Chorus, Caspar - In: Environmental & Resource Economics 51 (2012) 3, pp. 413-429

Persistent link: https://www.econbiz.de/10010862796

Aspects concerning entropy and utility

Hoseinzadeh, A.; Borzadaran, G. Mohtashami; Yari, G. - In: Theory and Decision 72 (2012) 2, pp. 273-285

Persistent link: https://www.econbiz.de/10010865781

Optimal Portfolio Choices, House Risk Hedging and the Pricing of Forward House Transactions

Fan, Gang-Zhi; Pu, Ming; Ong, Seow - In: The Journal of Real Estate Finance and Economics 45 (2012) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10010866996

Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers

Temme, Johannes - In: Mathematical Methods of Operations Research 76 (2012) 1, pp. 21-41

We consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Lévy model …

Persistent link: https://www.econbiz.de/10010950104

UTILITY BASED PRICING AND HEDGING OF JUMP DIFFUSION PROCESSES WITH A VIEW TO APPLICATIONS

ZAHN, JOCHEN - In: International Journal of Theoretical and Applied … 15 (2012) 07, pp. 1250052-1

We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these...

Persistent link: https://www.econbiz.de/10011011296