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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
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Portfolio choice algorithms, including exact stochastic dominance
Vinod, Hrishikesh D. - In: Journal of financial stability 70 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014490457
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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
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Alternative utility functions : review, analysis and comparison
Harel, Arie; Francis, Jack Clark; Harpaz, Giora - In: Review of quantitative finance and accounting 51 (2018) 3, pp. 785-811
Persistent link: https://www.econbiz.de/10012038397
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On the robustness of indeterminacy in subjective probability
Chew, Soo-Hong; Wang, Wenqian - In: Economics letters 188 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012227825
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A dual theory approach to estimating risk preferences in the parimutuel betting market
Suhonen, Niko; Saastamoinen, Jani; Lindén, Mikael - In: Empirical economics : a journal of the Institute for … 54 (2018) 3, pp. 1335-1351
Persistent link: https://www.econbiz.de/10011949530
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Expected utility optimization with convolutional stochastically ordered returns
Gauchon, Romain; Barigou, Karim - In: Risks : open access journal 12 (2024) 6, pp. 1-19
Expected utility theory is critical for modeling rational decision making under uncertainty, guiding economic agents as … expected utility for various utility functions, significantly broadening the potential for analytical and computational …
Persistent link: https://www.econbiz.de/10014636719
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Concavity, Stochastic Utility, and Risk Aversion
Jarrow, Robert - 2020
This paper studies the relation between concavity, stochastic or state dependent utility functions, and risk aversion …
Persistent link: https://www.econbiz.de/10012844461
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Concavity, stochastic utility, and risk aversion
Jarrow, Robert A.; Li, Siguang - In: Finance and stochastics 25 (2021) 2, pp. 311-330
Persistent link: https://www.econbiz.de/10012499688
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Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409