Search results for " Utility."
showing 10 items of 71 documents
Revealed preference and portfolio choice
1993
Abstract We show that the necessary and sufficient conditions for expected utility rationalizability of a single observed portfolio choice are identical to the necessary and sufficient conditions for non-expected utility rationalizability.
Investing for the Long Run
2017
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target payouts. The paper finds that the dynamics of the SDF needs to be captured and not the entire market dynamics, which simplifies significantly practical implementations of optimal portfolio strategies. We pay particular attention to the case where the SDF is equal to the inverse of the growth-optimal portfolio in the given market. Then, optimal wealth evolution is closely linked to the growth optimal portfolio. In particular, our concepts allo…
A Problem of Optimization in a Case of Foreign Investment
2000
The aim of the paper is to solve an optimization problem in an economic system with a central bank and a set of private agents. Each agent aims to maximize her expected utility, with rational expectations and being risk averse. The agents follow a profitability-risk criterium to face the portfolio diversification problem between foreign or domestic investment. An explicit formula for the optimal amount of foreign investment as a function of the expected exchange rate and an explicit formula for the exchange rate are obtained. These formulas show the hard influence of the expected exchange rate, the variance and the risk aversion on the agents’ decisions.
Determining a healthy reference range and factors potentially influencing PRO-C3 – A biomarker of liver fibrosis
2021
Background & Aims Progressive fibrosis has been identified as the major predictor of mortality in patients with non-alcoholic fatty liver disease (NAFLD). Several biomarkers are currently being evaluated for their ability to substitute the liver biopsy as the reference standard. Recent clinical studies in NAFLD/NASH patients support the utility of PRO-C3, a marker of type III collagen formation, as a marker for the degree of fibrosis, disease activity, and effect of treatment. Here we establish the healthy reference range, optimal sample handling conditions for both short- and long-term serum storage, and robustness for the PRO-C3 assay. Methods PRO-C3 was measured in 269 healthy volunteers…
An Interactive Multiple Objective Linear Programming Method for a Class of Underlying Nonlinear Utility Functions
1983
This paper develops a method for interactive multiple objective linear programming assuming an unknown pseudo concave utility function satisfying certain general properties. The method is an extension of our earlier method published in this journal (Zionts, S., Wallenius, J. 1976. An interactive programming method for solving the multiple criteria problem. Management Sci. 22 (6) 652–663.). Various technical problems present in predecessor versions have been resolved. In addition to presenting the supporting theory and algorithm, we discuss certain options in implementation and summarize our practical experience with several versions of the method.
Demand for life annuities from married couples with a bequest motive
2006
The aim of this paper is to explain the ‘annuities puzzle’ in greater depth by introducing the bequest motive. It will try to determine whether this motive really is a relevant feature influencing the demand for life annuities from married couples. With this aim in mind, we develop an optimization model of the utility provided by purchasing a life annuity with contingent survivor benefit or a joint survivor life annuity. Our model is based on that first put forward by Brown and Poterba (2000), to which we have added elements from other models, such as Friedman and Warshawsky's (1990) and Vidal and Lejárraga's (2004), which include the bequest motive. This will enable us to calculate the ann…
A Perturbation Approach to Continuous-Time Portfolio Selection Under Stochastic Investment Opportunities
2013
This paper studies portfolio selection in continuous-time models with stochastic investment opportunities. We consider asset allocation problems where preferences are specified as power utility derived from terminal wealth as well as consumption-savings problems with recursive utility Epstein-Zin preferences. The paper approximates the associated dynamic programming problem by perturbing the coefficients of the stochastic dynamics. We represent the Hamilton-Jacobi-Bellman equation as a series of partial differential equations that can be solved iteratively in closed-form through computer algebra software, at any desired accuracy.
Climate Change, Uncertainty and Ethical Superstorms
2021
I argue that one of the most urgent tasks of geoethics is how to deal with climate change in a just and equitable way. At worst, our current path could lead to multi-metre sea-level rise, increases in storms and climate extremes, causing devastating social disruption and economic consequences. I present some alternatives on how to handle this alarming prospect, arguing that we cannot condense our decision-making on climate change into numerical calculations, but should instead make ethical judgements. The commonly used expected utility maximation can be considered a gamble on future generations’ expense for the benefit of the current ones. Thus, from a Rawlsian perspective, we will instead …
A Generalization of the Mean-Variance Analysis
2008
In this paper we consider a decision maker whose utility function has a kink at the reference point with different functions below and above this reference point. We also suppose that the decision maker generally distorts the objective probabilities. First we show that the expected utility function of this decision maker can be approximated by a function of mean and partial moments of distribution. This "mean-partial moments" utility generalizes not only the mean-variance utility of Tobin and Markowitz, but also the mean-semivariance utility of Markowitz. Then, in the spirit of Arrow and Pratt, we derive an expression for a risk premium when risk is small. Our analysis shows that a decision…
Rubinstein-Taybi syndrome (CREBBP, EP300)
2011
1.2 OMIM# of the disease180849.1.3 Name of the analyzed genes or DNA/chromosome segmentsCREBBP, EP300 (E1A binding protein p300).1.4 OMIM# of the genes600140 (CREBBP), 602700 (EP300).1.5 Mutational spectrumMainly frameshift, nonsense, splice site and missense mutations. Lessfrequently large deletions (one or more exons) and rarely balancedinversions and translocations. Mutations are heterozygous, and mosaicmutations have been described. At present, more than 100 pathogenicmutations are known for the two genes together, but mutations inEP300 are much less common (only 11 so far).