On utility maximization with random interval payoffs

MaRDI QIDQ2858793zbMATH OpenFDO

Authors Surong You, Yuzheng Peng, Feifei Zhao

Publication date 19 November 2013

Published in Chinese Quarterly Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

expected utilityoptimal strategyrandom interval payoff

Mathematics Subject Classification ID

Nonlinear programming (90C30) Applications of game theory (91A80) Utility theory (91B16) Portfolio theory (91G10)

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Cited in

(6)

• Revisiting consistency with random utility maximisation: theory and implications for practical work
• More on random utility models with bounded ambiguity
• Pricing and hedging in a single period market with random interval valued assets
• Pricing a contingent claim with random interval or fuzzy random payoff in one-period setting
• G-expected utility maximization with ambiguous equicorrelation
• scientific article; zbMATH DE number 7564067 (Why is no real title available?)

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