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3
votes
1answer
67 views
Desired portfolio volume
I am working on a toy model, in part of which an investor has to decide (based on some utility theory) how much money to invest in a given portfolio. For simplicity, assume that the portfolio is ...
8
votes
1answer
238 views
reasonable asymptotic elasticity in utility maximization (paper by Kramkov / Schachermayer)
I'm working through this paper by Kramkov and Schachermayer. I have a question about the proof of Lemma 3.6.
$\mathbf{Question}$ Why is the inequality $(3.13)$ true, i.e.
$$\lim\sup_n ...
7
votes
1answer
86 views
Utility maximisation
We have a general setting, i.e. we are working with the time interval $[0,T]$ and a $\mathbb{R}^d$ valued semimartingale $S$, which is assumed to be RCLL. In utility maximisation the goal is to ...
5
votes
2answers
226 views
Does a coherent risk measure satisfy the four axioms of von Neumann–Morgenstern?
What is the relationship between the axioms of Artzner et al (1999) for coherent risk measures and the axioms of von Neumann-Morgenstern (1944) for the expected utility theory?
7
votes
2answers
84 views
Function that best describes intensity of human/(group of humans) emotions?
Let me give you couple of examples.
You're at a dinner and you order something. You could say:
"It's OK"
"It's good"
"It's great"
"It's fantastic"
"I've never ate something this good"
"Goodlike"
...
