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上海财经大学微观经济学课件Chapter 19 Profit-Maximization。
Multidimensional Mechanism Design:Revenue Maximization and the Multiple-Good Monopoly
extreme point faces non-linear pricing monopoly pricing multi-dimensional screening incentive compatibility adverse selection mechanism design
2015/9/23
The seller of N distinct objects is uncertain about the buyer’s valuation for those objects. The seller’s problem, to maximize expected revenue, consists of maximizing a linear functional over a conve...
Do arbitrage-free prices come from utility maximization?
arbitrage-free prices come from utility maximization
2012/9/14
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices ...
Robust utility maximization for Levy processes:Penalization and solvability
Convex risk measures duality robust utility Levy processes.
2012/9/14
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/6/5
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Model Formulation. Continuity of the Optimizers
2011/7/20
This article studies the sensitivity of the power utility maximization problem with respect to the investor’s relative risk aversion, the statistical probability measure, the investment constraints an...
BSDEs in Utility Maximization with BMO Market Price of Risk
BSDEs BMO Market Price of Risk
2011/7/20
This article studies quadratic semimartingale BSDEs arising in power utility maximization
when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and sucient condi...
Robust Maximization of Asymptotic Growth under Covariance Uncertainty
Maximization Covariance Uncertainty
2011/7/19
This paper resolves a question proposed in Kardaras and Robertson (2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying...
Stability of exponential utility maximization with respect to market perturbations
Stability exponential utility market perturbations
2011/7/19
Abstract. We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
CRRA Utility Maximization under Risk Constraints
BSDE CRRA preferences constrained utility maximization correspondences risk measures
2011/7/4
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion)
preferences, subject to dynamic risk constraints on trading strategies. The market model considered
...
Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
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.
On utility maximization under convex portfolio constraints
utility-maximization semimartingale financial market predictable convex-set-valued processes
2011/3/23
We consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predi...
On the Stability of Utility Maximization Problems
On the Stability Utility Maximization Problems
2010/10/22
In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, con...
Constrained NonSmooth Utility Maximization on the Positive Real Line
NonSmooth Utility Maximization Positive Real Line
2010/10/22
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly ...