Exponential utility

Known as: Exponential utility function 
In economics and finance, exponential utility refers to a specific form of the utility function, used in some contexts because of its convenience… (More)
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Related topics

Related topics

10 relations
Acceptance setCoherent risk measureEntropic risk measureExpected utility hypothesis
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Papers overview

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2010
2010
Optimal investment for executive stockholders with exponential utility
The scope of this paper is to enhance the model for the owncompany stockholder (given in Desmettre, Gould and Szimayer (2010… (More)
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2010
2010
Asymptotic utility-based pricing and hedging for exponential utility
This paper deals with pricing and hedging based on utility indifference for exponential utility. We consider the limit for… (More)
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Highly Cited
2007
Highly Cited
2007
A Utility Framework for Bounded-Loss Market Makers
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary… (More)
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Highly Cited
2007
Highly Cited
2007
Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
In the area of dynamic revenue management, optimal pricing policies are typically computed on the basis of an underlying demand… (More)
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2006
2006
On Convergence to the Exponential Utility Problem
We provide a method to solve dynamic expected utility maximization problems with possibly not everywhere increasing utility… (More)
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Highly Cited
2005
Highly Cited
2005
DYNAMIC EXPONENTIAL UTILITY INDIFFERENCE VALUATION By
We study the dynamics of the exponential utility indifference value process C(B; α) for a contingent claim B in a semimartingale… (More)
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Highly Cited
2005
Highly Cited
2005
Max-utility wireless resource management for best-effort traffic
Due to the characteristics of wireless channels, utility-based resource management in wireless networks requires a set of… (More)
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Highly Cited
2002
Highly Cited
2002
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another… (More)
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Highly Cited
1995
Highly Cited
1995
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
We consider a rm that is faced with an uncontrollable stochastic cash ow, or random risk process. There is one investment… (More)
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1986
1986
Double-Exponential Utility Functions
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org… (More)
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