Modeling non-monotone risk aversion using SAHARA utility functions

DOI10.1016/J.JET.2011.06.011zbMath1255.91106OpenAlexW3125321937MaRDI QIDQ643277

An Chen, Antoon Pelsser, Michel H. Vellekoop

Publication date: 28 October 2011

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2011.06.011

zbMATH Keywords

dual approachutility indifference pricingSAHARA utilityoptimal investment problem

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (17)

Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Optimal investment strategies for general utilities under dynamic elasticity of variance models ⋮ Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices ⋮ Dynamic preferences for popular investment strategies in pension funds ⋮ Optimal annuity demand for general expected utility agents ⋮ Comment on ``Modeling non-monotone risk aversion using SAHARA utility functions ⋮ OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT ⋮ Optimal investment and consumption when allowing terminal debt ⋮ On investor preferences and mutual fund separation ⋮ Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method ⋮ Indifference pricing under SAHARA utility ⋮ Near-optimal asset allocation in financial markets with trading constraints ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes ⋮ Mean-variance efficiency of optimal power and logarithmic utility portfolios ⋮ LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS ⋮ Optimal reinsurance and investment in a diffusion model ⋮ Mean-variance portfolio selection with non-negative state-dependent risk aversion

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