We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in … terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a … incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the …

utility of one product may depend on whether or not other products are purchased. For example, the utility of a camera lens is … much higher if the user has the appropriate camera (complements), and the utility of one camera is lower if the user … already has a similar camera (substitutes). In this paper, we propose multi-product utility maximization (MPUM) as a general …

Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter … ratio. Moreover, we obtain a value for the utility of the market equilibrium portfolio …

This paper studies the expected utility maximization problem with respect to a controlled state process with multiple …

The mean-variance utility postulates that random variables with the same mean and variance should be equally desirable …-variance utility in which any condition on variances but mean-values is not explicitly specified. Furthermore, we investigate necessary … and sufficient axioms for four types of additively separable forms of mean and variance in the utility representation …

This paper analyzes the optimal investment policies of rank-dependent utility maximizing investor who must manage the …