Theory and Decision, ISSN 0040-5833, 2013, Volume 75, Issue 1, pp. 43 - 57

In searching for an appropriate utility function in the expected utility framework, we formulate four properties that we want the utility function to satisfy....

Hyperbolic absolute risk aversion (HARA) | Operations Research/Decision Theory | Power utility | Parametric utility | Economic Theory | Game Theory/Mathematical Methods | Game Theory, Economics, Social and Behav. Sciences | Exponential utility | D81 | Economics / Management Science | RARE DISASTERS | EXPECTED-UTILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | RISK-AVERSION | PREFERENCE | EXPO-POWER UTILITY | ATTITUDES | Studies | Risk aversion | Economic models | Mathematical models | Economic theory | Utility functions | Utilities | Searching | Decision theory | Pareto optimality | Risk | Tolerances | Catastrophic failure analysis | Risk analysis

Hyperbolic absolute risk aversion (HARA) | Operations Research/Decision Theory | Power utility | Parametric utility | Economic Theory | Game Theory/Mathematical Methods | Game Theory, Economics, Social and Behav. Sciences | Exponential utility | D81 | Economics / Management Science | RARE DISASTERS | EXPECTED-UTILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | RISK-AVERSION | PREFERENCE | EXPO-POWER UTILITY | ATTITUDES | Studies | Risk aversion | Economic models | Mathematical models | Economic theory | Utility functions | Utilities | Searching | Decision theory | Pareto optimality | Risk | Tolerances | Catastrophic failure analysis | Risk analysis

Journal Article

The Annals of Applied Probability, ISSN 1050-5164, 8/2005, Volume 15, Issue 3, pp. 1691 - 1712

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject,...

Optimal strategies | Investors | Utility functions | Stochastic processes | Incomplete markets | Differential equations | Utility maximization | Mathematical functions | Stopping distances | Martingales | Maximal utility | Supermartingale | Backward stochastic differential equation | Logarithmic utility | Power utility | Incomplete market | Financial market | Exponential utility | Stochastic differential equation | logarithmic utility | maximal utility | financial market | stochastic differential equation | power utility | STATISTICS & PROBABILITY | exponential utility | incomplete market | supermartingale | PORTFOLIO | backward stochastic differential equation | CONSUMPTION | 60H10 | 60G44 | 60H20 | 91B28 | 93E20 | 91B16 | 91B70

Optimal strategies | Investors | Utility functions | Stochastic processes | Incomplete markets | Differential equations | Utility maximization | Mathematical functions | Stopping distances | Martingales | Maximal utility | Supermartingale | Backward stochastic differential equation | Logarithmic utility | Power utility | Incomplete market | Financial market | Exponential utility | Stochastic differential equation | logarithmic utility | maximal utility | financial market | stochastic differential equation | power utility | STATISTICS & PROBABILITY | exponential utility | incomplete market | supermartingale | PORTFOLIO | backward stochastic differential equation | CONSUMPTION | 60H10 | 60G44 | 60H20 | 91B28 | 93E20 | 91B16 | 91B70

Journal Article

Journal of Coastal Research, ISSN 0749-0208, 7/2019, Volume 94, Issue 94, pp. 743 - 748

Coastal areas are prone to storm surge disasters, and a storm surge disaster will cause significant economic losses. Based on exponential utility, the paper...

SECTION IV. COASTAL ECONOMY AND DEVELOPMENT | ENVIRONMENTAL SCIENCES | INSURER | GEOGRAPHY, PHYSICAL | GEOSCIENCES, MULTIDISCIPLINARY | dependent claims | optimal reinsurance-investment strategy | exponential utility | Proportional reinsurance | Reinsurance | Purchasing | Management | Risk (Insurance) | Economics | Economic models | Coasts | Insurance claims | Investment policy | Probability | Markets | Risk | Storm surges | Mathematics | Free markets | Coastal zone | Risks | Brownian motion | Storms | Disasters | Investments | Tidal waves | Insurance companies | Economic impact | Brownian movements | Investment | Accidents

SECTION IV. COASTAL ECONOMY AND DEVELOPMENT | ENVIRONMENTAL SCIENCES | INSURER | GEOGRAPHY, PHYSICAL | GEOSCIENCES, MULTIDISCIPLINARY | dependent claims | optimal reinsurance-investment strategy | exponential utility | Proportional reinsurance | Reinsurance | Purchasing | Management | Risk (Insurance) | Economics | Economic models | Coasts | Insurance claims | Investment policy | Probability | Markets | Risk | Storm surges | Mathematics | Free markets | Coastal zone | Risks | Brownian motion | Storms | Disasters | Investments | Tidal waves | Insurance companies | Economic impact | Brownian movements | Investment | Accidents

Journal Article

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Consumption–investment strategies with non-exponential discounting and logarithmic utility

European Journal of Operational Research, ISSN 0377-2217, 11/2014, Volume 238, Issue 3, pp. 824 - 835

•A non-Markovian model with random coefficients is considered.•An N-person differential game is studied to get a time-consistent strategy.•Martingale method is...

Time-inconsistency | Multi-person differential game | BSDEs | Consumption–investment problem | Non-exponential discounting | Consumption-investment problem | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | Management | Investments | Logarithmic functions | Analysis | Utilities | Volatility | Stochastic processes | Differential games | Strategy | Mathematical models | Raw materials | Optimization

Time-inconsistency | Multi-person differential game | BSDEs | Consumption–investment problem | Non-exponential discounting | Consumption-investment problem | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | Management | Investments | Logarithmic functions | Analysis | Utilities | Volatility | Stochastic processes | Differential games | Strategy | Mathematical models | Raw materials | Optimization

Journal Article

The Annals of Applied Probability, ISSN 1050-5164, 8/2005, Volume 15, Issue 3, pp. 2113 - 2143

We study the dynamics of the exponential utility indifference value process for a contingent claim B in a semimartingale model with a general continuous...

Risk aversion | Ambivalence | Valuation | Bipolar disorder | Entropy | Mathematics | Stopping distances | Martingales | Contingent claims | Perceptron convergence procedure | Indifference value | Incomplete markets | Dynamic valuation | Exponential utility | BSDE | Minimal entropy martingale measure | BMO-martingales | Semimartingale backward equation | RISK MEASURES | PRICES | minimal entropy martingale measure | semimartingale | DECOMPOSITION | STATISTICS & PROBABILITY | incomplete markets | indifference value | MAXIMIZATION | dynamic valuation | backward equation | exponential utility | 60H10 | 91B16 | semimartingale backward equation | 91B28 | 60G48

Risk aversion | Ambivalence | Valuation | Bipolar disorder | Entropy | Mathematics | Stopping distances | Martingales | Contingent claims | Perceptron convergence procedure | Indifference value | Incomplete markets | Dynamic valuation | Exponential utility | BSDE | Minimal entropy martingale measure | BMO-martingales | Semimartingale backward equation | RISK MEASURES | PRICES | minimal entropy martingale measure | semimartingale | DECOMPOSITION | STATISTICS & PROBABILITY | incomplete markets | indifference value | MAXIMIZATION | dynamic valuation | backward equation | exponential utility | 60H10 | 91B16 | semimartingale backward equation | 91B28 | 60G48

Journal Article

SIAM Journal on Control and Optimization, ISSN 0363-0129, 2018, Volume 56, Issue 6, pp. 3948 - 3972

Game contingent claims (GCCs) generalize American contingent claims in allowing the writer to recall the option as long as it is not exercised, at the price of...

Non-zero-sum dynkin games | Exponential utility indifference valuation | Game contingent claims | Nash equilibria | Incomplete markets | Optimal stopping under nonlinear expectation | game contingent claims | exponential utility indifference valuation | MATHEMATICS, APPLIED | SUM DYNKIN GAME | incomplete markets | NONLINEAR EXPECTATIONS | TIME | VALUATION | AMERICAN | optimal stopping under nonlinear expectation | non-zero-sum Dynkin games | PART | AUTOMATION & CONTROL SYSTEMS

Non-zero-sum dynkin games | Exponential utility indifference valuation | Game contingent claims | Nash equilibria | Incomplete markets | Optimal stopping under nonlinear expectation | game contingent claims | exponential utility indifference valuation | MATHEMATICS, APPLIED | SUM DYNKIN GAME | incomplete markets | NONLINEAR EXPECTATIONS | TIME | VALUATION | AMERICAN | optimal stopping under nonlinear expectation | non-zero-sum Dynkin games | PART | AUTOMATION & CONTROL SYSTEMS

Journal Article

SIAM Journal on Control and Optimization, ISSN 0363-0129, 2017, Volume 55, Issue 4, pp. 2636 - 2660

In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential...

Continuous-time Markov decision processes | Risk-sensitive criterion | Total undiscounted criteria | Exponential utility | Optimality equation | MATHEMATICS, APPLIED | RISK-SENSITIVE CONTROL | MODELS | continuous-time Markov decision processes | SEMI-MARKOV | COST CRITERION | optimality equation | total undiscounted criteria | exponential utility | risk-sensitive criterion | AUTOMATION & CONTROL SYSTEMS

Continuous-time Markov decision processes | Risk-sensitive criterion | Total undiscounted criteria | Exponential utility | Optimality equation | MATHEMATICS, APPLIED | RISK-SENSITIVE CONTROL | MODELS | continuous-time Markov decision processes | SEMI-MARKOV | COST CRITERION | optimality equation | total undiscounted criteria | exponential utility | risk-sensitive criterion | AUTOMATION & CONTROL SYSTEMS

Journal Article

European Journal of Operational Research, ISSN 0377-2217, 08/2012, Volume 220, Issue 3, pp. 820 - 830

► This paper presents a multiple criteria model for the newsvendor problem. ► The model considers profit, impacts of service level and environmental issues. ►...

Partial backlogging | Inventory control | Newsvendor problem | Multiple criteria analysis | Multi-Attribute Utility Theory | RISK-AVERSE | TIME | BACKORDERS | FREE NEWSBOY PROBLEM | ROUGH SETS | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | LOST SALES | PRODUCTS | PREFERENCE DISAGGREGATION | INVENTORY MODEL | SUPPLY CHAIN | Decision-making | Models | Electric utilities | Utilities | Maximization | Shortages | Images | Decisions | Exponential functions | Operational research | Marketing

Partial backlogging | Inventory control | Newsvendor problem | Multiple criteria analysis | Multi-Attribute Utility Theory | RISK-AVERSE | TIME | BACKORDERS | FREE NEWSBOY PROBLEM | ROUGH SETS | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | LOST SALES | PRODUCTS | PREFERENCE DISAGGREGATION | INVENTORY MODEL | SUPPLY CHAIN | Decision-making | Models | Electric utilities | Utilities | Maximization | Shortages | Images | Decisions | Exponential functions | Operational research | Marketing

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

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

Economic Theory, ISSN 0938-2259, 10/2016, Volume 62, Issue 4, pp. 785 - 812

Existing models of intertemporal choice such as discounted utility (also known as constant or exponential discounting), quasi-hyperbolic discounting and...

Discounting | Utility models | Axioms | Utility functions | Marginal utility | Utility maximization | Mathematical moments | Weighting functions | Disposable income | Interest rates | Economics | Discounted utility | D01 | Expected utility theory | D03 | Economic Theory/Quantitative Economics/Mathematical Methods | Time preference | Game Theory, Economics, Social and Behav. Sciences | Intertemporal choice | Dynamic inconsistency | Rank-dependent utility | Microeconomics | Public Finance & Economics | D90 | D81 | AXIOMS | RISK | EXPECTED UTILITY | PARADOX | PROBABILITY | NONEXPECTED UTILITY | PREFERENCES | AMBIGUITY | ECONOMICS | FOUNDATIONS | PROSPECT-THEORY | Functions, Exponential | Equilibrium (Economics) | Analysis | Monotonic functions | Studies | Economic theory | Expected utility | Decision making

Discounting | Utility models | Axioms | Utility functions | Marginal utility | Utility maximization | Mathematical moments | Weighting functions | Disposable income | Interest rates | Economics | Discounted utility | D01 | Expected utility theory | D03 | Economic Theory/Quantitative Economics/Mathematical Methods | Time preference | Game Theory, Economics, Social and Behav. Sciences | Intertemporal choice | Dynamic inconsistency | Rank-dependent utility | Microeconomics | Public Finance & Economics | D90 | D81 | AXIOMS | RISK | EXPECTED UTILITY | PARADOX | PROBABILITY | NONEXPECTED UTILITY | PREFERENCES | AMBIGUITY | ECONOMICS | FOUNDATIONS | PROSPECT-THEORY | Functions, Exponential | Equilibrium (Economics) | Analysis | Monotonic functions | Studies | Economic theory | Expected utility | Decision making

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

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

Operations Research, ISSN 0030-364X, 03/2007, Volume 55, Issue 2, pp. 198 - 214

In the area of dynamic revenue management, optimal pricing policies are typically computed on the basis of an underlying demand rate model. From the...

model uncertainty | ambiguity | Girsanov Theorem | relative entropy | robust control | rate control | stochastic differential games | exponential utility | risk-sensitive control | revenue management | dynamic pricing | Perfect price discrimination | Odes | Differential games | Uniqueness | Pricing policies | Entropy | Revenue | Stochastic models | Modeling | Ambiguity | Robust control | Relative entropy | Risk-sensitive control | Dynamic pricing | Revenue management | Exponential utility | Model uncertainty | Girsanov theorem | Stochastic differential games | Rate control | RISK | DEMAND | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | MINIMAX OPTIMAL-CONTROL | STOCHASTIC UNCERTAIN SYSTEMS | Analysis | Entropy (Information theory) | Pricing | Demand | Studies | Uncertainty | Game theory | Optimization

model uncertainty | ambiguity | Girsanov Theorem | relative entropy | robust control | rate control | stochastic differential games | exponential utility | risk-sensitive control | revenue management | dynamic pricing | Perfect price discrimination | Odes | Differential games | Uniqueness | Pricing policies | Entropy | Revenue | Stochastic models | Modeling | Ambiguity | Robust control | Relative entropy | Risk-sensitive control | Dynamic pricing | Revenue management | Exponential utility | Model uncertainty | Girsanov theorem | Stochastic differential games | Rate control | RISK | DEMAND | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | MINIMAX OPTIMAL-CONTROL | STOCHASTIC UNCERTAIN SYSTEMS | Analysis | Entropy (Information theory) | Pricing | Demand | Studies | Uncertainty | Game theory | Optimization

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

Semimartingales | Weak representation property | Progressive enlargement of filtrations | Exponential utility maximization | STATISTICS & PROBABILITY

Journal Article

Management Science, ISSN 0025-1909, 09/2003, Volume 49, Issue 9, pp. 1251 - 1263

Based on measurements among 332 ownermanagers, we investigate how the global shape of the utility function (i.e., Sshaped versus concave or convex over the...

Real Decision Makers | Heterogeneity in Utility Functions | Organizational Behavior | Reference Points | S-Shaped Utility Function | Risk aversion | Agricultural management | Hogs | Organizational behavior | Utility functions | Exponential functions | Lotteries | Piglets | Production technology | Loss aversion | preferences | decision | reflection | parameter-free elicitation | loss aversion | prospect-theory | risk attitude | choice | prices | probability weighting function | DECISION | reference points | PRICES | MANAGEMENT | heterogeneity in utility functions | RISK ATTITUDE | S-shaped utility function | organizational behavior | CHOICE | REFLECTION | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | PROBABILITY WEIGHTING FUNCTION | PARAMETER-FREE ELICITATION | PREFERENCES | LOSS AVERSION | real decision makers | PROSPECT-THEORY | Heterogeneity in Utility Functions; Organizational Behavior; S-Shaped Utility Function; Real Decision Makers; Reference Points | Research | Studies | Management science | Expected utility | Decision making

Real Decision Makers | Heterogeneity in Utility Functions | Organizational Behavior | Reference Points | S-Shaped Utility Function | Risk aversion | Agricultural management | Hogs | Organizational behavior | Utility functions | Exponential functions | Lotteries | Piglets | Production technology | Loss aversion | preferences | decision | reflection | parameter-free elicitation | loss aversion | prospect-theory | risk attitude | choice | prices | probability weighting function | DECISION | reference points | PRICES | MANAGEMENT | heterogeneity in utility functions | RISK ATTITUDE | S-shaped utility function | organizational behavior | CHOICE | REFLECTION | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | PROBABILITY WEIGHTING FUNCTION | PARAMETER-FREE ELICITATION | PREFERENCES | LOSS AVERSION | real decision makers | PROSPECT-THEORY | Heterogeneity in Utility Functions; Organizational Behavior; S-Shaped Utility Function; Real Decision Makers; Reference Points | Research | Studies | Management science | Expected utility | Decision making

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

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

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

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

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Numerical method for optimal portfolio in an exponential utility regime-switching model

International Journal of Computer Mathematics, ISSN 0020-7160, 02/2020, Volume 97, Issue 1-2, pp. 120 - 140

In this work, we consider a system of weakly coupled semi-linear parabolic equations of optimal portfolio in a regime-switching model in the case of...

van Leer flux-limiter | 35K51 | Regime-switching model | convergence | 65M06 | exponential non-linearity | negativity preserving | semi-linear parabolic equation | 35K65 | MATHEMATICS, APPLIED | PARABOLIC-ODE SYSTEM | EQUATION | EUROPEAN OPTIONS | SCHEMES | Stochastic processes | Numerical methods | Maximum principle | Mathematical models | Fields (mathematics) | Markov analysis | Switching | Finite difference method

van Leer flux-limiter | 35K51 | Regime-switching model | convergence | 65M06 | exponential non-linearity | negativity preserving | semi-linear parabolic equation | 35K65 | MATHEMATICS, APPLIED | PARABOLIC-ODE SYSTEM | EQUATION | EUROPEAN OPTIONS | SCHEMES | Stochastic processes | Numerical methods | Maximum principle | Mathematical models | Fields (mathematics) | Markov analysis | Switching | Finite difference method

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

The focus of the present work is a one-dimensional system of weakly coupled degenerate semi-linear parabolic equations of optimal portfolio in a...

Regime-switching model | 35K61 | 65M06 | positivity preserving | exponential nonlinearity | flux-limiter | semi-linear parabolic system | indifference pricing | 36K65 | MATHEMATICS, APPLIED | CONVERGENCE | PARABOLIC-ODE SYSTEM | EUROPEAN OPTIONS | SCHEMES | Fields (mathematics) | Mathematical analysis | Stochastic processes | Switching | Finite difference method

Regime-switching model | 35K61 | 65M06 | positivity preserving | exponential nonlinearity | flux-limiter | semi-linear parabolic system | indifference pricing | 36K65 | MATHEMATICS, APPLIED | CONVERGENCE | PARABOLIC-ODE SYSTEM | EUROPEAN OPTIONS | SCHEMES | Fields (mathematics) | Mathematical analysis | Stochastic processes | Switching | Finite difference method

Journal Article

Insurance Mathematics and Economics, ISSN 0167-6687, 2011, Volume 49, Issue 1, pp. 61 - 69

This paper reconsiders the optimal asset allocation problem in a stochastic framework for defined-contribution pension plans with exponential utility, which...

IB81 | Wage risk | Hamilton–Jacobi–Bellman equation | Inflation | Defined-contribution pension plan | IM12 | Optimal asset allocation | Exponential utility | Hamilton-Jacobi-Bellman equation | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | IB81 IM12 Defined-contribution pension plan Wage risk Inflation Optimal asset allocation Exponential utility Hamilton-Jacobi-Bellman equation | Investment analysis | Electric utilities | Pensions

IB81 | Wage risk | Hamilton–Jacobi–Bellman equation | Inflation | Defined-contribution pension plan | IM12 | Optimal asset allocation | Exponential utility | Hamilton-Jacobi-Bellman equation | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | IB81 IM12 Defined-contribution pension plan Wage risk Inflation Optimal asset allocation Exponential utility Hamilton-Jacobi-Bellman equation | Investment analysis | Electric utilities | Pensions

Journal Article