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Persistent link: https://www.econbiz.de/10011418704
In this paper, we investigate an optimization problem related to super-replicating strategies for European-type call options written on a weighted sum of asset prices, following the initial approach in Chen et al. (2008). Three issues are investigated. The first issue is the (non-)uniqueness of...
Persistent link: https://www.econbiz.de/10013033610
Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as they seek to optimize outcomes. Traditional methods often require restrictive assumptions about underlying stochastic processes, limiting their applicability. This paper...
Persistent link: https://www.econbiz.de/10014636719
Expected utility is an influential theory to study rational choice among risky assets. For each investment, an economic agent expects to receive a random payoff and therefore optimizes its expected utility. To the best of our knowledge, there exists no general procedure to take the derivative of...
Persistent link: https://www.econbiz.de/10014258023
Persistent link: https://www.econbiz.de/10003564155