CRRA utility maximization under dynamic risk constraints

On utility maximization under convex portfolio constraints

Utility Maximization under Solvency Constraints and Unhedgeable Risks

We consider the utility maximization problem for an investor who faces a solvency or risk constraint in addition to a budget constraint. The investor wishes to maximize her expected utility from terminal wealth subject to a bound on her expected solvency at maturity. We measure solvency using a solvency function applied to the terminal wealth. The motivation for our analysis is an optimal inves...

Utility Maximization under Uncertainty

Motivated by several search and optimization problems over uncertain datasets, we study the stochastic versions of a broad class of combinatorial problems where either the existences or the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest paths, minimum weight spanning trees, and minimum weight matchings over probabilistic graphs;...

Utility maximization under increasing risk aversion in one-period models

It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication price and the shortfalls of utility maximizing hedging portfolios starting from the superreplication price tend to zero in L1. In this paper we give an example of a one-period financial model with bounded prices where ut...

On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as the existence of expected utility is guaranteed. © 2011 Elsevier B.V. All rights reserved.