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Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
On utility maximization under convex portfolio constraints
utility-maximization semimartingale financial market predictable convex-set-valued processes
2011/3/23
We consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predi...
An Exact Connection between two Solvable SDEs and a Non Linear Utility Stochastic PDEs
forward utility performance criteria horizon-unbiased utility
2010/10/20
The paper proposes a new approach to consistent stochastic utilities, also called forward dynamic utility, recently introduced by M. Musiela and T. Zariphopoulou. These utilities satisfy a property of...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Overview of utility-based valuation
utility-based prices price corrections risk-tolerance
2010/10/19
We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of compu...
We introduce and analyze expected uncertain utility theory (EUU). A prior and an
interval utility characterize an EUU decision maker. The decision maker transforms each
uncertain prospect into an in...
A policyholder's utility indifference valuation model for the guaranteed annuity option
Indi erence Valuation Guaranteed Annuity Option g.a.o Incom-plete Markets Insurance Life Annuity Annuitization Optimal Asset Allocation
2010/11/2
Insurance companies often include very long-term guarantees in par-ticipating life insurance products, which can turn out to be very valuable.Under a guaranteed annuity options (g.a.o.), the insurer g...
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...
Power Utility Maximization in Constrained Exponential Lévy Models
power utility Lévy process constraints dynamic programming
2010/11/3
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solut...