منابع مشابه
State Dependent Utility
We propose a new approach to utilities in (state) complete markets that is consistent with state-dependent utilities. Full solutions of the optimal consumption and portfolio problem are obtained in a very general setting which includes several functional forms for utilities used in the current literature, and consider general restrictions on allowable wealths. As a secondary result, we obtain a...
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We revisit Merton’s portfolio optimization problem under bounded state-dependent utility functions, in a market driven by a Lévy process Z extending results by Karatzas et. al. [8] and Kunita [11]. The problem is solved using a dual variational problem as it is customarily done for nonMarkovian models. One of the main features here is that the domain of the dual problem enjoys an explicit “para...
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1 Technical Summary 9 2 Introduction, Retrospect and Preview 11 2.1 Retrospect: Theory 11 2.2 Retrospect: Applications and Moral Hazard 13 2.3 One-Person Games with Moral Hazard 15 2.4 Motivation and Organisation 16 3 A General Framework 18 4 Games Against Nature 20 5 Hypothetical Preferences 22 6 Games with Moral Hazard 27 7 Conditional Expected Utility 34 7.1 Representation Theorem 34 7.2 Ext...
متن کاملCategory Pricing with State-Dependent Utility
T is substantial literature documenting the presence of state-dependent utility with packaged goods data. Typically, a form of brand loyalty is detected whereby there is a higher probability of purchasing the same brand as has been purchased in the recent past. The economic significance of the measured loyalty remains an open question. We consider the category pricing problem and demonstrate th...
متن کاملState Dependent Expected Utility for Savage's State Space
This paper generalizes the Debreu/Gorman characterization of additively decomposable functionals and separable preferences to infinite dimensions. The first novelty concerns the very definition of additively decomposable functional for infinite dimensions. For decision under uncertainty, our result provides a state-dependent extension of Savage's expected utility. A characterization in terms of...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2009
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1238592116