We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic programming approach. We demonstrate that the value...

This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few dimensions. Design/methodology/approach The paper opted for an...

We study optimal portfolio decisions for a retail investor that faces a strictly positive transaction cost in a classical Black‐Scholes market. We provide a construction of optimal trading strategies and characterize the value function as the unique viscosity solution of the associated...

Many decision models in marketing science and psychology assume that a consumer chooses by proceeding sequentially through a checklist of desirable properties. These models are contrasted to the utility maximization model of rationality in economics. We show on the contrary that the two...

This paper provides an introduction to the field of evolutionary economics with emphasis on the evolutionary theory of household behavior. It shows that the goal of evolutionary economics is to improve upon neoclassical economics by incorporating more realistic and empirically grounded...

This paper studies whether pro-environmental consumption choices are consistent with utility maximization and what role the consumption behavior of reference persons and one's own past behavior play in this context. By combining data on individuals' pro-environmental consumption from a unique...

The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents'...

It is conceivable that the whether to buy and how much tobuy decisions in the purchasing process of households areinfluenced by the inventory process. In this paper we thereforeput forward a model for consumption, where we rely on establishedeconomic theory. We incorporate this model in a model...

Standard economic models of rational decision making provide information on how people should decide. In practice, human decisions are influenced by numerous behavioral patterns that lead to systematic deviations from rationally optimal behavior. In the context of retirement savings, this can...

We consider a portfolio optimization problem for a utility maximizing investor who is simultaneously restricted by convex constraints on portfolio allocation and upper and lower bounds on terminal wealth. After introducing a capped version of the Legendre–Fenchel-transformation, we use it to...