Utility Maximization Under Bounded Expected Loss
نویسندگان
چکیده
منابع مشابه
Utility Maximization Under Bounded Expected Loss
We consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of the expected loss. Depending on the parameters of the risk constraint we show existence of an optimal solution and uniqueness of the corresponding Lagrange multipliers. Using Malliavin calculus we also provide the optimal ...
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A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity postulates. Its main ingredient is the definition of a qualitative order on nonstandard models of the real numbers and the consideration of nonstandard utilities. Exp...
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ژورنال
عنوان ژورنال: Stochastic Models
سال: 2009
ISSN: 1532-6349,1532-4214
DOI: 10.1080/15326340903088495