منابع مشابه
Optimizing benchmark-based utility functions∗
We consider four utility functions, each of which incorporates a benchmark to better capture the motivations of today’s portfolio managers. Assuming instrument returns are normally distributed, we establish conditions under which optimal portfolios for these utilities are mean-variance efficient and we briefly discuss computing solutions of the models via standard nonlinear programming tools. W...
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متن کاملOptimisation and Utility Functions
The story begins in St. Petersburg in 1738. There Daniel Bernoulli proposed a solution to the “St. Petersburg Paradox” by introducing the notion of a utility function. The problem is formulated in somewhat flowery terms as a game. It was proposed by Nicholas Bernoulli, a cousin of Daniel, in a letter from 1713 to Pierre Raymond de Montmort. Suppose I offer you a random sum of money where the am...
متن کاملMin-Additive Utility Functions
This paper introduces the ―min-additive‖ (also called ―min-average‖) utility function. This function is a weighted combination of an additive utility function and a minimization over a set of single attribute utility functions. The weighting is accomplished by exploiting information already contained in the additive and minimization models. Four forms of the min-additive (MA) model are presente...
متن کاملModel-based Utility Functions
Orseau and Ring, as well as Dewey, have recently described problems, including self-delusion, with the behavior of agents using various definitions of utility functions. An agent's utility function is defined in terms of the agent's history of interactions with its environment. This paper argues, via two examples, that the behavior problems can be avoided by formulating the utility function in ...
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ژورنال
عنوان ژورنال: The Manchester School
سال: 2007
ISSN: 1463-6786
DOI: 10.1111/j.1467-9957.2007.01049.x