We introduce and analyze expected balanced uncertain utility (EBUU) theory. A prior and a balanced outcome-set utility … characterize an EBUU decision maker. Conditional on a reference or "balancing value," the latter assigns a utility to each outcome … contains the act. She then (implicitly) ranks an act according to the balancing value at which the expected balanced utility of …

We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an … insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the … initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We also perform some numerical …

One of the most well-known models of non-expected utility is Gul (1991)'s model of Disappointment Aversion. This model …, however, is defined implicitly, as the solution to a functional equation; its explicit utility representation is unknown …

choosing a solution is modeling the decision maker's attitude to risk. The expected utility theory was the first approach that … decisions under risk conditions is the cumulative prospect theory. This paper presents the development history of various … extensions of the original expected utility theory, and the analysis of the main properties of the cumulative prospect theory …

-time models and stylized facts reported in the literature. We work within expected utility theory for portfolio selection with … constant relative risk aversion utility. The method extends a recursive polynomial exponential approximation framework by … market price of risk, a 4/2 model with jumps, and an Ornstein-Uhlenbeck 4/2 model. In only one case, the closed-form solution …

Exchange, taking into account the investor’s propensity to risk. Design/methodology/approach - Investment portfolios consisting … companies in the entire portfolio were determined, maximizing portfolio’s expected (square) utility function, and then the … obtained structures were compared between investors with various levels of risk propensity. Using Hellwig’s taxonomic …

including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … sensitivity analysis framework suitable for risk models. …

Recent theoretical developments in economics distinguish between risk and ambiguity (Knightian uncertainty). Using …