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~person:"Blavatskyy, Pavlo R."
~person:"Eeckhoudt, Louis R."
~person:"Escobar, Marcos"
~person:"Gollier, Christian"
~person:"Mukerji, Sujoy"
~person:"Schipper, Burkhard"
~type_genre:"Article in journal"
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Search: subject:"Expected utility"
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Erwartungsnutzen
53
Expected utility
53
Theorie
42
Theory
42
Risikoaversion
24
Risk aversion
24
Decision under uncertainty
18
Entscheidung unter Unsicherheit
18
Portfolio selection
18
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18
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13
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10
Entscheidung unter Risiko
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10
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Expected utility theory
8
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7
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7
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6
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Blavatskyy, Pavlo R.
Eeckhoudt, Louis R.
Escobar, Marcos
Gollier, Christian
Mukerji, Sujoy
Schipper, Burkhard
Grant, Simon
32
Wakker, Peter P.
27
Karni, Edi
24
Eichberger, Jürgen
19
Schmidt, Ulrich
18
Bleichrodt, Han
14
Chateauneuf, Alain
14
Kelsey, David
14
Quiggin, John C.
14
Hey, John Denis
13
Marinacci, Massimo
12
Dominiak, Adam
11
Klibanoff, Peter
11
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11
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10
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10
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10
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10
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9
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9
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9
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9
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9
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8
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8
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8
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8
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8
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8
Polak, Ben
8
Segal, Uzi
8
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8
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8
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7
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7
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6
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4
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1
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1
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1
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1
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1
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55
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1
The SEV-SV model : applications in portfolio optimization
Escobar, Marcos
;
Fan, Weili
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-34
within
expected
utility
theory (EUT) for incomplete markets, producing closed-form representations for the optimal strategy …
Persistent link: https://www.econbiz.de/10014234313
Saved in:
2
Closed-form portfolio optimization under GARCH models
Escobar, Marcos
;
Gollart, Maximilian
;
Zagst, Rudi
- In:
Operations research perspectives
9
(
2022
),
pp. 1-13
maximize the
expected
utility
from terminal wealth under a Heston and Nandi (2000) GARCH (HN-GARCH) model. Based on an …
Persistent link: https://www.econbiz.de/10012880259
Saved in:
3
A neural network Monte Carlo approximation for
expected
utility
theory
Zhu, Yichen
;
Escobar, Marcos
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
7
,
pp. 1-18
-time models and stylized facts reported in the literature. We work within
expected
utility
theory for portfolio selection with …
Persistent link: https://www.econbiz.de/10012626104
Saved in:
4
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
5
A class of portfolio optimization solvable problems
Cheng, Yuyang
;
Escobar, Marcos
- In:
Finance research letters
52
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014472208
Saved in:
6
Revisiting the 1/N-strategy : a neural network framework for optimal strategies
Escobar, Marcos
;
Theilacker, Lorenz
;
Zagst, Rudi
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 505-542
Persistent link: https://www.econbiz.de/10014443753
Saved in:
7
Derivatives-based portfolio decisions : an
expected
utility
insight
Escobar, Marcos
;
Davison, Matt
;
Zhu, Yichen
- In:
Annals of finance
18
(
2022
)
2
,
pp. 217-246
Persistent link: https://www.econbiz.de/10013278982
Saved in:
8
Multivariate risk aversion utility, application to ESG investments
Escobar, Marcos
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014225740
Saved in:
9
Dual moments and risk attitudes
Eeckhoudt, Louis R.
;
Laeven, Roger J. A.
- In:
Operations research
70
(
2022
)
3
,
pp. 1330-1341
Persistent link: https://www.econbiz.de/10013366078
Saved in:
10
Mean-variance optimization under affine GARCH : a utility-based solution
Escobar, Marcos
;
Spies, Ben
;
Zagst, Rudi
- In:
Finance research letters
59
(
2024
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014445236
Saved in:
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