# Questions tagged [expected]

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### Expectation of the negative exponential utility function for a Grossman and Miller model

I have the standard $3$-period Grossman and Miller model with $2$ outside traders and $M$ market makers. I'm told: $W_t^{(1)}, W_t^{(2)}, W_t^{(m)}$ is the wealth of the first outside trader, second ...
1 vote
149 views

### CVaR portfolio optimization with risk aversion parameter

I'm trying to implement the Rockafellar's function described in this paper http://past.rinfinance.com/agenda/2009/yollin_slides.pdf with a risk aversion parameter for my thesis. The function to ...
• 11
109 views

### Ito isometry of variance of integral on interval [t, t+1]

Can I use Ito isometry to calculate $Var(Y_t)$ where $Y_t= \int_{t}^{t+1}B_sdB_s$ and $B_s$ is Brownian motion, in this way? Is my reasoning correct? $$Var(Y_t)=E[Y_t^2]-(E[Y_t])^2$$ Applying Ito ...
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### Intuitive explanation for expectiles

I am looking for an intuitive explanation for expectiles. Here is a link to a paper about expectiles: Bellini and Di Bernardino: Risk Management with Expectiles, European Journal of Finance, May ...
• 309
1 vote
802 views

### Expected Shortfall Basel III style: what is the idea?

I would like to do a qualitative question about the Expected shortfall in the Basel 3 document. First of all let me introduce few definitions. Suppose to have a portfolio $P$ depending on a family ...
• 455
1 vote
1k views

### Explain Four Basic Axioms of Maximising Expected Utility

I begin learn PRM , Someone help me understand Four Basic Axioms of Maximising Expected Utility most intuitive way .Thank you very much
175 views

### Integration to calculate expected value of swap rate

In Hagan's paper on valuing CMS swaps (Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors), there is: So the swap rate must also be a Martingale, and E \big[ R_s(\tau) \big| \mathcal{...
• 808
83 views

### Expected returns vs expected prices?

This may be the most stupid question ever asked here, so sorry in advance for asking it. Suppose we have a single period security which gives dividend $D_{t+1}$ and has current price $P_t$. By ...
• 1,896