A characterization of separable utility functions
A characterization of value efficiency.
An important issue in multi-attribute decision making consists of identifying the set of efficient solutions. The importance of this set is that the decision maker (DM) can restrict his attention to it, discarding all other solutions, because a nonefficient solution can never be optimal. Several methods have been developed to aid a DM in generating all or representative subsets of efficient solutions, [1] and [4], or to approximate it [7]. However most of these methods may be hard to apply to nonlinear...
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
A Language for the construction of preferences under uncertainty.
A note on risk averse newsboy problem
An application of dynamic programming principle in corporate international optimal investment and consumption choice problem.
An approach to the solution of a conflict situation with participants
An extension of Fan's fixed point theorem and equilibrium point of an abstract economy
An inverse problem in the economic theory of demand
Applications comparées des méthodes d'analyse multicritère UTA
Approximation des optima de Pareto
Archimedeaness and additive utility on totally and ordered semigroups.
Asymptotics of utility from terminal wealth for partially observed portfolios
We study the asymptotical behaviour of expected utility from terminal wealth on a market in which asset prices depend on economic factors that are unobserved or observed with delay.
Axiomatic theory of investment evaluating
Axiomatiques et propriétés des quasi-ordres
Choix dans le risque et effet de certitude : un modèle axiomatique général
Comment modéliser les préférences au moyen de fonctions d'utilité auditives
Comparison principle approach to utility maximization
We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.
Conjoint analysis: an application in eliciting patient's preferences.
Convergence of optimal strategies in a discrete time market with finite horizon
A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.