We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We apply a … general view of constant relative risk aversion to investigate on different equivalence relations. Then we compare our results …

of the price distribution as such plays a pivotal role in determining the regret-averse firm's production decision. …

is not only risk averse but also regret averse. Regret-averse preferences are characterized by a modified utility … firm optimally increases (decreases) its futures position when the price risk possesses more positive (negative) skewness. …

ways to manage risk of which one of the most important forms is interest rate risk. In this paper we use the mean … on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …