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Dynamic resource management : intertemporal substitution and risk aversion
Knapp, Keith C. - In: American journal of agricultural economics 78 (1996) 4, pp. 1004-1014
Persistent link: https://www.econbiz.de/10001213593
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On the rate allocation problem under co-existance of uncertain utility function parameters and uncertain link capacities
Gąsior, Dariusz; Orski, Donat - In: Journal of the Operational Research Society : OR 65 (2014) 10, pp. 1562-1570
Persistent link: https://www.econbiz.de/10010416649
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095
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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …Utility and risk are two often competing measurements on the investment success. We show that efficient trade …
Persistent link: https://www.econbiz.de/10011867378
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Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Källblad, Sigrid - In: Finance and stochastics 21 (2017) 2, pp. 397-425
Persistent link: https://www.econbiz.de/10011944387
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Portfolio optimization with disutility-based risk measure
Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553
Persistent link: https://www.econbiz.de/10011444347
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Asymptotic expected utility of dividend payments in a classical collective risk process
Baran, Sebastian; Constantinescu, Corina; Palmowski, … - In: Risks : open access journal 11 (2023) 4, pp. 1-15
We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an … initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We also perform some numerical …
Persistent link: https://www.econbiz.de/10014303657
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On the concavity and quasiconcavity properties of (σ,μ) utility functions
Lajeri-Chaherli, Fatma - In: Bulletin of economic research 68 (2016) 3, pp. 287-296
Persistent link: https://www.econbiz.de/10011502796
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Comparative statics effects independent of the utility function : when do we act the same way under risk?
Rodríguez-Puerta, Inmaculada - In: European journal of operational research : EJOR 247 (2015) 2, pp. 610-617
Persistent link: https://www.econbiz.de/10011375786
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Modeling hedge fund leverage via power utility with subsistence
Morton, David P.; Popova, Ivilina - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 77-85
Persistent link: https://www.econbiz.de/10010209502