WHEN GAMBLING IS NOT WINNING: EXPLORING OPTIMALITY OF VIX TRADING UNDER THE EXPECTED UTILITY THEORY
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چکیده
منابع مشابه
Expected Utility Theory under Non - Classical Uncertainty ∗
In this paper Savage’s theory of decision-making under uncertainty is extended from a classical environment into a non-classical one. The Boolean lattice of events is replaced by an arbitrary ortho-complemented poset. We formulate the corresponding axioms and provide representation theorems for qualitative measures and expected utility. Then, we discuss the issue of beliefs updating and investi...
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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 interval-valued prospect that assigns an interval of prizes to each state. She then ranks prospects according to their expected interval utilities. We define uncertainty aversion for EUU, use the EUU m...
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The expected utility/subjective probability model of risk preferences and beliefs has long been the preeminent model of individual choice under conditions of uncertainty. It exhibits a tremendous flexibility in representing aspects of attitudes toward risk, has a well-developed analytical structure, and has been applied to the analysis of gambling, games of strategy, incomplete information, ins...
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This is a chapter for the forthcoming Handbook of Rational and Social Choice, Paul Anand, Prasanta Pattanaik, and Clemens Puppe, eds., Oxford University Press, 2008. We review classic normative expected utility theory. Our goal is to frame the subsequent chapters (which consider more modern extensions to and deviations from this classic theory) in a way that is accessible to the nonspecialist b...
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ژورنال
عنوان ژورنال: Journal of Business Accounting and Finance Perspectives
سال: 2019
ISSN: 2603-7475
DOI: 10.26870/jbafp.2018.01.004