搜索结果: 1-7 共查到“经济学 power utility”相关记录7条 . 查询时间(0.093 秒)
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Optimal investment with bounded VaR for power utility functions
VaR power utility functions
2010/10/18
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is f...
The Bellman Equation for Power Utility Maximization with Semimartingales
The Bellman Equation for Power Semimartingales
2010/11/3
The Bellman Equation for Power Utility Maximization with Semimartingales.
On Asymptotic Power Utility-Based Pricing and Hedging
Utility-based pricing and hedging incomplete markets mean-variance hedging numeraire semimartingale characteristics
2010/11/3
Kramkov and Sîrbu [24, 25] have shown that first-order approximations of power utility-based prices and hedging strategies can be computed by solving amean-variance hedging problem under a speci...
Power Utility Maximization in Constrained Exponential Lévy Models
power utility Lévy process constraints dynamic programming
2010/11/3
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solut...
The Opportunity Process for Optimal Consumption and Investment with Power Utility
consumption semimartingale dynamic programming con-vex duality
2010/11/3
We study the utility maximization problem for power utility ran-dom fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is intr...