The neutral valuation approach for contingent claims in incomplete markets is based on the assumption that investors are identical utility maximizers and that derivative supply and demand are balanced. It is closely related to (marginal) utility-based pricing in the sense of Hugonnier et al. (2005), where however only buy-and-hold investments in the derivative are possible. This paper contains ...

According to the law of diminishing marginal utility, utility when consumers purchase a certain product shows trend. As special product, cultural tourism products, whether is produced during consumption also affected by utility. This paper takes “Impression Liu Sanjie” as research object and uses linear regression equation model study tourists products. The results show that buying products an ...

We describe a novel approach to multi-attribute utility elicitation which is both general enough to cover a wide range of problems, whilst at the same time simple enough to admit reasonably straightforward calculations. We allow both utilities and probabilities to be only partially specified, through bounding. We still assume marginal utilities to be precise. We derive necessary and sufficient ...

Income and price elasticity of demand quantify the responsiveness of markets to changes in income and in prices, respectively. Under the assumptions of utility maximization and preference independence (additive preferences), mathematical relationships between income elasticity values and the uncompensated own and cross price elasticity of demand are here derived using the differential approach ...

A risk-based sensor placement methodology is proposed to solve the problem of optimal location of sensors to protect population against the exposure to, and effects of, known and/or postulated chemical, biological, and/or radiological threats. Risk is calculated as a quantitative value representing population at risk from exposure at standard exposure levels. Historical meteorological data are ...

This paper studies the income fluctuation problem without imposing bounds on utility, assets, income or consumption. We prove that the Coleman operator is a contraction mapping over the natural class of candidate consumption policies when endowed with a metric that evaluates consumption differences in terms of marginal utility. We show that this metric is complete, and that the fixed point of t...

This paper is concerned about the allocation of households’ consumption expenditure over time in a life cycle environment. We construct a pseudo panel from a time series of cross sections using average cohort procedures. The parameters of a CRRA utility function with socio-demographic dependent marginal utility is then estimated by GMM using an Euler approach. Stochastic dynamic programming tec...

We study a dynamic, stochastic economy with several agents, who may differ in their endowments (of a single commodity) and in their utilities. An equilibrium financial market is constructed, under the condition that all agents have infinite marginal utility at zero. If, in addition, the Arrow—Pratt indices of relative risk aversion for all agents are less than or equal to one, then uniqueness o...