Disappointment Aversion Preferences in Continuous Time

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：hawk327

【摘要】

：

　　In this paper,the portfolio choice problem for the Gul(1991)'s disappointment averse investors in continuous time framework is developed and considered.Assu

【作者】

：

PantelousAthanasios;KaragiannisNikolaos;

【机构】

：

Univ.of Liverpool

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

下载到本地 , 更方便阅读

下载此文赞助VIP

声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架

论文部分内容阅读

　　In this paper,the portfolio choice problem for the Gul(1991)'s disappointment averse investors in continuous time framework is developed and considered.Assuming a complete market and general geometric Brownian motions for asset prices,and given the wealth W of an investor and a standard utility function u,we define explicitly the certainty equivalent μW by the following relation u(μW)=E[u(W)].

其他文献

A Comprehensive Alkali-Surfactant-Polymer Chemical Flooding Mathematical Model and Its Application

　　In order to simulate the alkali-surfactant-polymer(ASP)flooding,a comprehensive ASP flooding mathematical model is constructed,with governing equation consi

会议

Multi-scale Approaches to Model CO2 Injection and Migration

　　Geological sequestration of CO2 requires modeling tools to simulate injection and migration of both CO2 and displaced brine.While strong buoyancy leads to d

会议

Fractional Dynamics,Non-ergodicity,and Ageing

　　Starting from a brief review of fractional relaxation and diffusion models,I will discuss the physical background of fractional dynamics and its implication

会议

An Eulerian-Lagrangian WENO Finite Difference Scheme for Advection Problems

　　We develop a locally conservative Eulerian-Lagrangian finite difference scheme with the weighted essentially non-oscillatory property(ELWENO)in one-space di

会议

Lagrangian Approximations and Hydrologic Applications of Fractional-order Advection-Dispersion Equat

　　This talk introduces numerical methods and applications for fractional-order advection-dispersion equations(fADEs).A general Lagrangian solver is developed

会议

Parallel Domain Decomposition-based Numerical Simulation of Blood Flows in Branching Arteries Using

　　We develop parallel domain decomposition based algorithms used for numerical simulation of blood flows in arteries based on a non-Newtonian viscosity model

会议

A Highly Scalable Algorithm for Simulating Blood Flows in Compliant Arteries

　　Simulating blood flows in compliant arteries in 3D is a challenging multi-physics problem.The difficulties are due to the high nonlinearity of coupled equat

会议

Massively Parallel Approach to Modeling Cardiac Electromechanics at High Spatiotemporal Resolution

　　We demonstrate the feasibility of high resolution models of bidirectionally coupled cardiac electro-mechanics which resolve cardiac anatomy at a para-cellul

会议

BDDC Preconditioners for Cardiac Electromechanics

　　We present a BDDC solver for the cardiac electro-mechanical coupling,a model describing the electrical excitation of the myocardium and its subsequent contr

会议

High-performance computing in computational biomechanics

　　Computational biomechanics is the study of biology at the organ and tissue level using computer simulation technologies based on mathematical and numerical

会议

Disappointment Aversion Preferences in Continuous Time

其他学术论文