1 School of Statistics, Beijing Normal University, Beijing, China. 2 College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, China. 3 Department of Economics, ...

Abstract: A classic target-setting problem with a two-piece linear outcome function is extended to include an exponential utility function over outcomes and a normal distribution over uncertain inputs ...

This is a preview. Log in through your library . Abstract We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The ...

Abstract: A continuous-time dynamic portfolio selection problem is studied in an incomplete market. Explicit form solutions of optimal portfolios are derived in a complete market for exponential ...

In this study, we test an investor's market behavior using probability functions. Furthermore, by establishing a consistent mean-variance model based on compound independent axioms with a unique ...

A Python-based portfolio optimization tool designed to find optimal asset allocations across multiple investment horizons. This project leverages both standard utility functions (e.g., Sharpe, Sortino ...

This is a preview. Log in through your library . Abstract The impact of decision makers' attitudes toward risk has been studied extensively in the context of noncompetitive decision making but not in ...