Related papers: Linear fractional relative risk aversion
An analytical solution to single-horizon asset allocation for an investor with a piecewise-linear utility function, called herein the "budget threshold utility," and exogenous position limits is presented. The resulting functional form has…
It has been known for some time that 2-loop renormalization group (RG) equations of a dimensionless parameter can be solved in a closed form in terms of the Lambert W function. We apply the method to a generic theory with a Gaussian fixed…
In functional linear regression, the slope ``parameter'' is a function. Therefore, in a nonparametric context, it is determined by an infinite number of unknowns. Its estimation involves solving an ill-posed problem and has points of…
Low Rank Approximation (LRA) of a matrix is a hot research subject, fundamental for Matrix and Tensor Computations and Big Data Mining and Analysis. Computations with low rank matrices can be performed at sublinear cost -- by using much…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
The Wright function, which arises in the theory of the space-time fractional diffusion equation, is an interesting mathematical object which has diverse connections with other special and elementary functions. The Wright function provides a…
Under the separability assumption on the augmented density, a distribution function can be always constructed for a spherical population with the specified density and anisotropy profile. Then, a question arises, under what conditions the…
When it comes to structural estimation of risk preferences from data on choices, random utility models have long been one of the standard research tools in economics. A recent literature has challenged these models, pointing out some…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
We consider utility maximization problem for semi-martingale models depending on a random factor $\xi$. We reduce initial maximization problem to the conditional one, given $\xi=u$, which we solve using dual approach. For HARA utilities we…
We propose a nested reduced-rank regression (NRRR) approach in fitting regression model with multivariate functional responses and predictors, to achieve tailored dimension reduction and facilitate interpretation/visualization of the…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations.…
In this article we generalize Borel's classical approximation results for the regular continued fraction expansion to the alpha-Rosen fraction expansion, using a geometric method. We give a Haas-Series-type result about all possible good…
We discuss when law-invariant convex functionals "collapse to the mean". More precisely, we show that, in a large class of spaces of random variables and under mild semicontinuity assumptions, the expectation functional is, up to an affine…
Purpose: This paper explores gender differences in two distinct forms of risk aversion -- Payoff Risk Aversion (PaRA) and Price Risk Aversion (PrRA) -- in order to provide a more nuanced understanding of how men and women respond to…
For utility functions $u$ finite valued on $\mathbb{R}$, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally…
The aim of this paper is twofold. Firstly we present our main discovery arising from experiments which is the tauberian concept of functions of good variation (FGV). Secondly we propose to use these FGV for proving RH is true via some…
In this paper we provide a novel family of stochastic orders that generalizes second order stochastic dominance, which we call the $\alpha,[a,b]$-concave stochastic orders. These stochastic orders are generated by a novel set of "very"…
In this article we consider risk-sensitive control of semi-Markov processes with a discrete state space. We consider general utility functions and discounted cost in the optimization criteria. We consider random finite horizon and infinite…