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Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation

Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and Stochastics 19 (2015) 2, pp. 415-448

<Para ID="Par1">This paper deals with an investment–consumption portfolio problem when the current utility depends also on the wealth process. Such problems arise e.g. in portfolio optimization with random horizon or random trading times. To overcome the difficulties of the problem, a dual approach is...</para>

Persistent link: https://www.econbiz.de/10011241202

Primal and dual approximation algorithms for convex vector optimization problems

Löhne, Andreas; Rudloff, Birgit; Ulus, Firdevs - In: Journal of Global Optimization 60 (2014) 4, pp. 713-736

Two approximation algorithms for solving convex vector optimization problems (CVOPs) are provided. Both algorithms solve the CVOP and its geometric dual problem simultaneously. The first algorithm is an extension of Benson’s outer approximation algorithm, and the second one is a dual variant...

Persistent link: https://www.econbiz.de/10011151248

Portfolio optimization with insider’s initial information and counterparty risk

Hillairet, Caroline; Jiao, Ying - In: Finance and Stochastics 19 (2015) 1, pp. 109-134

<Para ID="Par1">We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits a random threshold L. The insider knows this threshold (as it can be the case for the manager...</para>

Persistent link: https://www.econbiz.de/10011151665

General dual measures of riskiness

Schulze, Klaas - In: Theory and Decision 78 (2015) 2, pp. 289-304

axiom of duality, which ensures that risk measures respect comparative risk aversion. This paper characterizes all dual risk …

Persistent link: https://www.econbiz.de/10011154897

UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES

COX, ALEXANDER M. G.; HOBSON, DAVID; OBłÓJ, JAN - In: International Journal of Theoretical and Applied … 17 (2014) 03, pp. 1450018-1

We pursue an inverse approach to utility theory and associated consumption and investment problems. Instead of specifying a utility function and deriving the actions of an agent, we assume that we observe the actions of the agent (i.e. consumption and investment strategies) and ask if it is...

Persistent link: https://www.econbiz.de/10011011292

The Implementation Duality

Noldeke, Georg; Samuelson, Larry - Cowles Foundation for Research in Economics, Yale University - 2015

underlying implementation duality. We show how this duality can be used to obtain a sharpening of the taxation principle, to …

Persistent link: https://www.econbiz.de/10011201348

The Implementation Duality

Nöldeke, Georg; Samuelson, Larry - Wirtschaftswissenschaftliches Zentrum, Universität Basel - 2015

underlying implementation duality. We show how this duality can be used to obtain a sharpening of the taxation principle, to …

Persistent link: https://www.econbiz.de/10011204529

AN EXAMINATION OF BOARD AND FIRM PERFORMANCE: EVIDENCE FROM TAIWAN

Lin, Chang-Jui - In: The International Journal of Business and Finance Research 5 (2011) 4, pp. 17-34

This article discusses the impact of duality and board structure in corporate governance on corporate performance. The … impact on corporate performance. Similar results were achieved using ROA and ROE for analysis. Duality, board size, and … inside directors had a positive impact on ROA and ROE. The analysis of large companies showed duality, board size, and family …

Persistent link: https://www.econbiz.de/10011206052

On duality and the benefit function

Chavas, Jean-Paul; Baggio, Michele - In: Journal of Economics 99 (2010) 2, pp. 173-184

Persistent link: https://www.econbiz.de/10008615308

Distance Functions and Efficiency Measurement

PASTOR, JESUS T.; APARICIO, JUAN - In: Indian Economic Review 45 (2010) 2, pp. 193-231

revision of duality results so as to highlight the economic relevance of distance functions. …

Persistent link: https://www.econbiz.de/10008922985