搜索结果: 1-12 共查到“应用经济学 Utility”相关记录12条 . 查询时间(0.068 秒)
public utility pricing and finance
asymmetrical information Averch–Johnson effect cost functions cost-of-service
2015/7/31
The theory of public utility pricing provides clear recommendations when the
regulator and utility have same information about the underlying economic
environment – the structure of demand and the p...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
In statistical physics, the conservation of particle number results in the equalization of the chemical potential throughout a system at equilibrium. In contrast, the homogeneity of utility in socio-...
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 ...
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
nonsmooth utility maximization classical solution to HJB equation smooth
2010/10/20
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or st...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisible market transaction cost
2010/10/19
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
《Handbook of Game Theory with Economic Applications》Chapter 55 Values of non-transferable utility games
Handbook of Game Theory with Economic Applications Values of non-transferable
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 55 Values of non-transferable utility games。
《Handbook of Game Theory with Economic Applications》Chapter 39 Utility and subjective probability
Handbook of Game Theory with Economic Applications Utility subjective probability
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 39 Utility and subjective probability。
Robust utility maximization for diffusion market model with misspecified coefficients
The maximin problem saddle point Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation robust utility maximization
2010/11/2
The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose price is described by di...
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...
Utility maximization in models with conditionally independent increments
utility maximization stochastic factors conditionally independent increments martingale method
2010/11/3
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument,we determine the optimal strategy fo...