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上海财经大学微观经济学课件Chapter 4 Utility
The theory of public utility pricing provides clear recommendations when the regulator and utility have same information about the underlying economic environment – the structure of demand and the p...
We introduce a class ofutility-based market makersthat always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We ...
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which ...
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance,...
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
Investigates the implications of expected utility (EU) violations for agricultural and natural resource economics. Risk evaluation under EU; Behavior inconsistent with EU's linear treatment of probabi...
This article studies the sensitivity of the power utility maximization problem with respect to the investor’s relative risk aversion, the statistical probability measure, the investment constraints an...
This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...

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