Related papers: Utility Function from Maximum Entropy Principle
Density-functional theory is a formally exact description of a many-body quantum system in terms of its density; in practice, however, approximations to the universal density functional are required. In this work, a model based on deep…
Motivated by the analysis of a general optimal portfolio selection problem, which encompasses as special cases an optimal consumption and an optimal debt-arrangement problem, we are concerned with the questions of how a personality trait…
The classical Maximum-Entropy Principle (MEP) based on Shannon entropy is widely used to construct least-biased probability distributions from partial information. However, the Shore-Johnson axioms that single out the Shannon functional…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
Statistical Physics, Diffusion Entropy Analysis and Information Theory commonly use Mathai's entropy which measures the randomness of probability laws, whereas welfare economics and the Social Sciences commonly use Gini index which measures…
Various lower bounds are established for the entropy of sums, products and their combinations. First, we derive a prime-field analogue of a version of the entropy power inequality established by Tao over torsion-free groups. Next, we prove…
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
We consider a power utility maximization problem with additive habits in a framework of discrete-time markets and random endowments. For certain classes of incomplete markets, we establish estimates for the optimal consumption stream in…
This paper addresses the problem of utility maximization under uncertain parameters. In contrast with the classical approach, where the parameters of the model evolve freely within a given range, we constrain them via a penalty function. We…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
We suggest to include the density of electron charge explicitly in the electron potential of density functional theory, rather than implicitly via exchange-correlation functionals. The advantages of the approach are conceptual and…
There are three ways to conceptualize entropy: entropy as an extensive thermodynamic quantity of physical systems (Clausius, Boltzmann, Gibbs), entropy as a measure for information production of ergodic sources (Shannon), and entropy as a…
Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time…
The maximum entropy principle (MEP) is a method for obtaining the most likely distribution functions of observables from statistical systems, by maximizing entropy under constraints. The MEP has found hundreds of applications in ergodic and…
We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We identify both a class of utilities and a class of…
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among…
We demonstrate and characterize a first-principles approach to modeling the mass action dynamics of metabolism. Starting from a basic definition of entropy expressed as a multinomial probability density using Boltzmann probabilities with…
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the…