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We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute … of wealth. The class contains the well-known exponential and power utility functions as limiting cases.We investigate the … optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization …
Persistent link: https://www.econbiz.de/10013133906
We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute … of wealth. The class contains the well-known exponential and power utility functions as limiting cases. We investigate … the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual …
Persistent link: https://www.econbiz.de/10013123739
Persistent link: https://www.econbiz.de/10014147074
distinct layers: (1) physical uncertainty, entailing inherent randomness within a given probability model, (2) model … uncertainty, entailing subjective uncertainty about the probability model to be used and (3) model misspecification, entailing … uncertainty about the presence of the true probability model among the set of models considered. Using a new experimental design …
Persistent link: https://www.econbiz.de/10011862952
Persistent link: https://www.econbiz.de/10002127259
Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust …
Persistent link: https://www.econbiz.de/10011602543
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …
Persistent link: https://www.econbiz.de/10013115460
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about …
Persistent link: https://www.econbiz.de/10011382430
-based support for the concept of relative utility and reconfirmation of the meaningful role of behavioural finance in economics and …Although the link between risk aversion and diminishing marginal utility of wealth is academically well established …
Persistent link: https://www.econbiz.de/10012807566
date. The Arrow-Pratt coefficients are properties of the utility functions, but a number of estimates are obtained by …
Persistent link: https://www.econbiz.de/10013099686