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(2012)
Dynamic hedging with stochastic differential utility
(Sociedade Brasileira de Econometria, 2006-11-01)
In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...
Dynamic hedging with stocastic differential utility
(Escola de Pós-Graduação em Economia da FGV, 2003-05-22)
In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both ...
Collateral or utility penalties ?
(Escola de Pós-Graduação em Economia da FGV, 2005-05-12)
In a two-period economy with incomplete markets and possibility of default we consider the two classical ways to enforce the honor of financial commitments: by using utility penalties and by using collateral requirements ...
A strict expected multi-utility theorem
(Elsevier B.V., 2017)
This paper integrates two key approaches to the representation of incomplete preferences over lotteries. The main result strengthens the conclusion of the expected multi-utility theorem in Dubra, Maccheroni, and Ok (2004) ...