Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Expected utility maximization"”.
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Optimal portfolio choice : beyond the traditional expected utility maximization paradigm
… by new contributions in the area of calculating expected functionals of the optimal wealth in a log-normal market. The available theory behind the risk budgeting approach is revisited, with the main arguments for and against the approach explained. The equally weighted portfolio, referred to as …
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Capital Flows and Trade in an Integrated World
… the existence of explicit demand schedules under expected utility maximization when the random variable is nonlinearly transformed.
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On two utility maximization problems
This dissertation studies two expected utility maximization problems from mathematical finance. The first project (Chapter 2) deals with a single-agent utility maximization under constraints on intertemporal consumption; the second project (Chapter 3) studies Nash equilibria in an N-player game of …
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Bank hedging in futures markets: an integrated approach to exchange and interest rate risk management
… and make long-term fixed rate loans. The expected utility maximization model shows that in a two-period framework the bank’s optimal simultaneous hedge ratios for risks associated with exchange rate, interest rate, and anticipatory positions are given by the coefficients of the theoretical …
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Three Essays on Financial Economics
… on data that academics have access to, it is expected to provide greater consistency and reproducibility to future HFT research. The fuzzy logic we used also provides policymakers with more flexible identification. The data for the first chapter came from the French capital market. We created …
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Semiparametric Characteristics-based Models of Asset Returns
… investment strategies. We build upon the expected utility maximization framework of \cite{brandt1999estimating} and \cite{ait2001variable}. We assume that assets returns obey a characteristics-based factor model with time-varying factor risk premia as in \cite{li2020dynamic}. We prove …