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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…
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Related topics
Related topics
10 relations
Acceptance set
Coherent risk measure
Entropic risk measure
Expected utility hypothesis
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2020
2020
Optimal investment with derivatives and pricing in an incomplete market
Hui Mi
,
Lixia Xu
Journal of Computational and Applied Mathematics
2020
Corpus ID: 209338687
2015
2015
Optimal Unemployment Insurance and Cyclical Fluctuations
Rui Li
,
N. Williams
2015
Corpus ID: 11947231
The authors study the design of optimal unemployment insurance in an environment with moral hazard and cyclical fluctuations. The…
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2012
2012
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
C. Alexander
,
Dimitris Korovilas
2012
Corpus ID: 56439904
A comprehensive description of the trading and statistical characteristics of VIX futures and their exchange-traded notes…
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2011
2011
Asymptotic utility-based pricing and hedging for exponential utility
Kallsen Jan
,
R. Thorsten
2011
Corpus ID: 56377396
This paper deals with pricing and hedging based on utility indifference for exponential utility. We consider the limit for…
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2010
2010
On optimal investment in a reinsurance context with a point process market model
Enrico Edoli
,
W. Runggaldier
2010
Corpus ID: 13892247
2008
2008
CONVEX PRICING BY A GENERALIZED ENTROPY PENALTY 1
Johannes Leitner
2008
Corpus ID: 14246399
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded…
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2007
2007
An Application of Stochastic Optimization Theory to Institutional Finance
J. Mukuddem-Petersen
,
M. Petersen
,
I. Schoeman
2007
Corpus ID: 168210066
A current problem in institutional finance is to devise a means of computing the maximum profit that can be made by a depository…
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Highly Cited
2001
Highly Cited
2001
Rational Hedging and Valuation with Utility-Based Preferences
Dirk Becherer
,
Doktor der Naturwissenschaften
2001
Corpus ID: 154458620
In this thesis, we study stochastic optimization problems in which concave functionals are maximized on spaces of stochastic…
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1999
1999
Empirical Tests of Interest Rate Model Pricing Kernels
J. Rosenberg
1999
Corpus ID: 6820865
This paper estimates and tests consumption-based pricing kernels used in common equilibrium interest rate term structure models…
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1986
1986
Double-Exponential Utility Functions
D. E. Bell
Mathematics of Operations Research
1986
Corpus ID: 19818847
Ordinal additivity between two attributes X and Y is a property that permits the utility function ux, y to be represented as φvx…
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