Skip to search form
Skip to main content
Skip to account menu
Semantic Scholar
Semantic Scholar's Logo
Search 237,148,336 papers from all fields of science
Search
Sign In
Create Free Account
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…
Expand
Wikipedia
(opens in a new tab)
Create Alert
Alert
Related topics
Related topics
10 relations
Acceptance set
Coherent risk measure
Entropic risk measure
Expected utility hypothesis
Expand
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2014
2014
On sensitivities in utility-based hedging and parameter uncertainty
Ghady Azar
2014
Corpus ID: 55895220
We study utility-based hedging and indifference pricing in a basis risk model where we wish to hedge a claim on a non-traded…
Expand
2011
2011
Decision-making of portfolio investment with double exponential utility function
Zhou Qing-jian
2011
Corpus ID: 156529744
Double exponential utility function is one kind of risk-averse utility function,being classic and comprehensively used by…
Expand
2009
2009
Optimal conditions for the control problem associated to a Ramsey model with taxes and exponential utility
O. Bundău
2009
Corpus ID: 58908567
In this paper is analyzed an economical growth model with taxes in continuous and infinite time. This economical growth model…
Expand
2009
2009
Optimal control applied to a Ramsey model with taxes and exponential utility
O. Bundău
2009
Corpus ID: 54999238
In this paper we analyze an economical growth model with taxes and exponential utility in continuous and infinite time. This…
Expand
2009
2009
Exponential utility maximization under partial information and sufficiency of information
M. Santacroce
2009
Corpus ID: 150575185
G.We consider the case when G does not necessarily contain all information onthe prices of the traded asset i.e.S is not a G…
Expand
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…
Expand
1999
1999
Optimal Positioning in Derivative Securities 1 Introduction
P. Carr
,
D. Madan
,
+8 authors
Lisa Polsky
1999
Corpus ID: 16486249
We consider a simple single period economy in which agents invest so as to maximize expected utility of terminal wealth. We…
Expand
1998
1998
Optimal Positioning in Derivative Securities 1
P. Carr
,
D. Madan
,
M. Stanley
1998
Corpus ID: 16054829
We consider a simple single period economy in which agents invest so as to maximize expected utility of terminal wealth. We…
Expand
1990
1990
Target-setting problem with exponential utility
Roman Krzysztofowicz
IEEE Transactions on Systems, Man and Cybernetics
1990
Corpus ID: 43083986
A classic target-setting problem with a two-piece linear outcome function is extended to include an exponential utility function…
Expand
1984
1984
Exponential utility and ruin constraints
Paul Snow
IEEE Transactions on Systems, Man and Cybernetics
1984
Corpus ID: 2685482
A buying price equation for lotteries identical to that implied by exponential utility is derived using a constraint on the…
Expand