A utility function is an important tool for representing a DM’s preference. We adjoin utility functions to multi …-objective optimization problems. In current studies, usually one utility function is used for each objective function. Situations may arise … for a goal to have multiple utility functions. Here, we consider a constrained multi-objective problem with each objective …

Maximizing the expected logarithmic utility, or equivalently the geometric mean, of a portfolio is a well-known yet … continuous variable is inappropriate. We will focus on how to solve the utility maximization problem in the presence of discrete … experiment conducted for the German stock market. Our approach generalizes to other utility functions satisfying some mild …

In this paper we report further progress towards a complete theory of state-independent expected utility maximization … with semi-martingale price processes for arbitrary utility function. Without any technical assumptions we establish a …

Revealed Preference offers nonparametric tests for whether consumption observations can be rationalized by a utility … deviations from utility maximation …