搜索结果: 1-4 共查到“理论经济学 Utility functions”相关记录4条 . 查询时间(0.078 秒)
Optimal investment with bounded VaR for power utility functions
VaR power utility functions
2010/10/18
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is f...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...
Aggregation in Incomplete Market with General Utility Functions
Aggregation constrained Pareto optimal incomplete market
2011/4/2
This paper tackles the "aggregation problem" for stochastic economies with possibly incomplete market. An "aggregation theorem" is proved towards an analytic construction of the representative agent’s...