This study builds on the findings in Krawczyk (2008), where a 'cautious relaxed' utility measure is introduced in the solving of a dynamic portfolio management problem. The new measure provides distributions that are left skewed in contrast to the right skewed distributions previously found....

The econometricians and the economic modelers have to know and use numerical analysis not only to have a good understanding of their results, but sometimes to built their own tools. The increasing tendency to the use of large-scale models leads the softwares to reach the limit of the saturation...

In this paper I consider a portfolio optimization problem where an agent holds an endowment of stock and is allowed to buy some quantity of a put option on the stock. This basic question (how much insurance to buy?) has been addressed in insurance economics through the literature on rational...