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Portfolio optimization under nonlinear utility

Heyne, Gregor; Kupper, Michael; Tangpi, Ludovic - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37

Persistent link: https://www.econbiz.de/10011524910

Expected utility without bounds : a simple proof

Dillenberger, David; Krishna, R. Vijay - In: Journal of mathematical economics 52 (2014), pp. 143-147

Persistent link: https://www.econbiz.de/10010495152

Expected utility and catastrophic risk

Ikefuji, Masako; Laeven, Roger; Magnus, Jan R.; Muris, Chris - 2014

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure that expected (marginal) utility remains finite also...

Persistent link: https://www.econbiz.de/10010412466

Axiomatization of weighted (separable) utility

Blavatskyy, Pavlo - In: Journal of mathematical economics 54 (2014), pp. 138-142

Persistent link: https://www.econbiz.de/10011297094

A unified derivation of classical subjective expected utility models through cardinal utility

Wakker, Peter P.; Zank, Horst - In: Journal of mathematical economics 32 (1999) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10001415945

Mixture of consistent stochastic utilities, and a priori randomness

Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10012650235

Utilitarianism with and without expected utility

McCarthy, David; Mikkola, Kalle; Thomas, Teruji - In: Journal of mathematical economics 87 (2020), pp. 77-113

Persistent link: https://www.econbiz.de/10012661934

A simplified approach to subjective expected utility

Stanca, Lorenzo - In: Journal of mathematical economics 87 (2020), pp. 151-160

Persistent link: https://www.econbiz.de/10012662038

Subjective expected utility with imperfect perception

Pivato, Marcus; Vergopoulos, Vassilios - In: Journal of mathematical economics 88 (2020), pp. 104-122

Persistent link: https://www.econbiz.de/10012589931

Cardinal versus ordinal criteria in choice under risk with disconnected utility ranges

Di Caprio, Debora; Santos Arteaga, Francisco Javier - In: Journal of mathematical economics 47 (2011) 4/5, pp. 588-594

Persistent link: https://www.econbiz.de/10009422569