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Journal of Coastal Research, ISSN 0749-0208, 7/2019, Volume 94, Issue 94, pp. 743 - 748
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 11/2014, Volume 238, Issue 3, pp. 824 - 835
Journal Article
SIAM Journal on Control and Optimization, ISSN 0363-0129, 2018, Volume 56, Issue 6, pp. 3948 - 3972
Journal Article
SIAM Journal on Control and Optimization, ISSN 0363-0129, 2017, Volume 55, Issue 4, pp. 2636 - 2660
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 08/2012, Volume 220, Issue 3, pp. 820 - 830
Journal Article
Electronics Letters, ISSN 0013-5194, 4/2018, Volume 54, Issue 8, pp. 529 - 531
A new utility function-based framework is proposed for network selection that utilises exponential functions and is monotonically related to a function of the... 
Wireless communications | radio networks | network elimination | performance criteria | exponential functions | multiplicative utility function | heterogeneous wireless networks | additive utility function | network selection | utility function-based criteria | ENGINEERING, ELECTRICAL & ELECTRONIC
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 09/2015, Volume 64, pp. 306 - 312
An expected utility based cost-benefit analysis is, in general, fragile to distributional assumptions. We derive necessary and sufficient conditions on the... 
Consumption | Cost-benefit analysis | Risk management and self-insurance | Power utility | Catastrophe | Heavy tails | Expected utility | Exponential utility | EVENTS | CLIMATE-CHANGE | STATISTICS & PROBABILITY | MAXIMIZATION | CHOICE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | UNCERTAINTY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 02/2020, Volume 130, Issue 2, pp. 760 - 784
In this paper we show that the weak representation property of a semimartingale X with respect to a filtration F is preserved in the progressive enlargement G... 
Semimartingales | Weak representation property | Progressive enlargement of filtrations | Exponential utility maximization | STATISTICS & PROBABILITY
Journal Article
Journal of Natural Gas Science and Engineering, ISSN 1875-5100, 11/2015, Volume 27, pp. 1482 - 1494
Although the concepts and mathematics of utility theory and its application to adjusting valuations to reflect the perspectives of decision makers with a range... 
Risk tolerance/aversion | Risk preferences | Exponential utility | Expected utility | Decision making | Upstream gas oil uncertainty | ENGINEERING, CHEMICAL | CHOICE | OIL | INDUSTRY | ENERGY & FUELS | PETROLEUM-EXPLORATION
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 10/2015, Volume 246, Issue 2, pp. 528 - 542
•We consider the multi-period portfolio choice problem for an exponential utility.•The closed-form solution is derived under return predictability.•The results... 
Expected utility optimization | Exponential utility function | Multi-period asset allocation | Return predictability | ASSETS | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | TRANSACTION COSTS | OPTIMIZATION | SELECTION | Geometric probabilities | Distribution (Probability theory) | Analysis | Probabilities | Combinatorial probabilities
Journal Article
Cogent Economics & Finance, ISSN 2332-2039, 01/2017, Volume 5, Issue 1
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an... 
C02 | C13 | C15 | power utility function | G12 | G23 | hyperbolic utility function | G15 | negative exponential utility function | truncated Taylor approximation | International CAPM | risk measure | assets pricing | Risk aversion | Economic models | Utility | CAPM | Valuation | Utility functions | Pricing | Risk | Power | Avoidance | Risk factors
Journal Article
International Journal of Computer Mathematics, ISSN 0020-7160, 02/2020, Volume 97, Issue 1-2, pp. 120 - 140
Journal Article
International Journal of Computer Mathematics: International Conference on Computational Finance 2017 (ICCF 2017), ISSN 0020-7160, 11/2019, Volume 96, Issue 11, pp. 2115 - 2134
Journal Article