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utility maximization

Power utility maximization under partial information: Some convergence results

Power utility maximization under partial information: Some convergence results

... Utility maximization problems under partial information have been considered under various setups in the literature. Mainly, (see, e.g., [12,9,21,25]) the problem was studied for market models where only ...

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A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties

A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties

... robust utility functionals (1) were considered, among others, by Talay and Zheng [25], Quenez [20], Schied [21], Burgert and R¨ uschendorf [3], Schied and Wu [23], F¨ollmer and Gundel [8], and the authors ...

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Robust Utility Maximization in a Stochastic Factor Model

Robust Utility Maximization in a Stochastic Factor Model

... robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor ...robust utility ...

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A Note on Utility Maximization with Unbounded Random Endowment

A Note on Utility Maximization with Unbounded Random Endowment

... Exponential Utility. The “Six-Author Paper” [5] and its refinement [11] develop a general duality theory for the case of exponential utility: U.x/ D 1 e ˛x , giving the duality equality under (2.5) and the ...

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Exponential Utility Maximization under Partial Information

Exponential Utility Maximization under Partial Information

... We consider the exponential utility maximization problem under partial information. The underlying asset price process follows a continuous semimartingale and strategies have to be con- structed when only ...

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Risk aversion asymptotics for power utility maximization

Risk aversion asymptotics for power utility maximization

... the utility maximization problem to the superreplication problem, which was studied for discrete models by Carassus and Rásonyi [5] and by Grandits and Summer ...exponential utility in ...

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Utility maximization, risk aversion, and stochastic dominance

Utility maximization, risk aversion, and stochastic dominance

... power utility investors if the increments of the return processes are independent or, more generally, independent conditional on some stochastic factor ...the utility maximization problem can be ...

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Backward Stochastic PDEs Related to the Utility Maximization Problem

Backward Stochastic PDEs Related to the Utility Maximization Problem

... i.e., for a given initial capital x > 0, the goal is to maximize the expected value from the terminal wealth. The utility maximization problem was first studied by Merton (1971) in the classical ...

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Along but beyond mean-variance: Utility maximization in a semimartingale model

Along but beyond mean-variance: Utility maximization in a semimartingale model

... the utility maximization problem is well understood even in a general semimartingale incomplete market setting (see Schachermayer, 2001, and references ...

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Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy

Optimal Investment Strategy for Kinked Utility Maximization: Covered Call Option Strategy

... kinked utility maximization has been suggested as an important problem to ...expected utility of end-of-period wealth by allocating wealth between a risky and riskless asset under a set of ...the ...

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Decentralized Utility Maximization in Heterogeneous Multicell Scenarios with Interference Limited and Orthogonal Air Interfaces

Decentralized Utility Maximization in Heterogeneous Multicell Scenarios with Interference Limited and Orthogonal Air Interfaces

... a utility maximization problem which is constrained by the resources (such as power or bandwidth) of the individual base stations (BSs) as well as users’ minimum data rate ...appropriate utility ...

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Foreign Exchange Reserves Demand Model Based on Chinese Government Utility Maximization and Analysis of Chinese Foreign Exchange Reserves

Foreign Exchange Reserves Demand Model Based on Chinese Government Utility Maximization and Analysis of Chinese Foreign Exchange Reserves

... government utility maximization, the thesis arrange as the followings: First, the authors analyzes the significance and objectives of the research, then review the literature ...ment utility, ...

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Relaxed Utility Maximization in Complete Markets

Relaxed Utility Maximization in Complete Markets

... the utility maximization problems for complete markets, relaxing the assumption AE(U) < ...of utility maximization discards topological information, focus- ing on the measurable structure ...

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Market Completion and Robust Utility Maximization

Market Completion and Robust Utility Maximization

... the utility maximization problem with respect to one probability ...expected utility of his wealth at the end of a finite time in- terval [0, T ...of utility functions: the exponential, the ...

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Utility Maximization Subject to Multiple Constraints

Utility Maximization Subject to Multiple Constraints

... of utility maximization subject to a budget constraint, and provided a mathematical formulation for nontrivial constrained optimization problem with special reference to application in ...

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Utility Maximization in Imperfected Markets

Utility Maximization in Imperfected Markets

... classical utility maximization from fixed terminal wealth, we have now to consider the whole path of the consumption process on the support of `[0, T ], here `[0, T ] stands for Lebesgue measure on [0, T ...

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Customer Satisfaction Aware Scheduling For Utility Maximization in Cloud Computing

Customer Satisfaction Aware Scheduling For Utility Maximization in Cloud Computing

... adopted utility theory leveraged from economics and developed an utility model for measuring customer satisfaction in ...the utility model, consumer satisfaction is relevant to two factors: service ...

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Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model

Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model

... This work investigated a reinsurer’s optimal investment strategy and the proportion he accepted for reinsurance under proportional reinsurance and exponential utility preference in the cases where the Brownian ...

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SLUM: Service Layered Utility Maximization Model to Guide Dynamic Composite Webservice Selection in Virtual Organizations

SLUM: Service Layered Utility Maximization Model to Guide Dynamic Composite Webservice Selection in Virtual Organizations

... Where there are requirements for global constraints and strict requirements for 100% optimality, S-MIP is better than SLUM and L-MIP since SLUM does not guarantee global optimality where[r] ...

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Integrating Models of Innovation Adoption: Social Network Thresholds, Utility Maximization, and Hazard Models.

Integrating Models of Innovation Adoption: Social Network Thresholds, Utility Maximization, and Hazard Models.

... Utility theory can be used to explain choices on the basis of actors’ preferences, beliefs and constraints, but is it those reasons, and not utility theory, that do the explanatory work. Useful theory ...

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