scholarly journals Kim and Omberg Revisited: The Duality Approach

2015 ◽  
Vol 2015 ◽  
pp. 1-6 ◽  
Author(s):  
Anna Battauz ◽  
Marzia De Donno ◽  
Alessandro Sbuelz
Keyword(s):  
Expected Utility ◽  
Explicit Solution ◽  
Utility Maximization ◽  
Optimal Investment ◽  
Incomplete Market ◽  
Maximization Problem ◽  
Expected Utility Maximization ◽  
Duality Approach ◽  
Utility Maximization Problem ◽  
Optimal Investment Problem

We give an alternative duality-based proof to the solution of the expected utility maximization problem analyzed by Kim and Omberg. In so doing, we also provide an example of incomplete-market optimal investment problem for which the duality approach is conducive to an explicit solution.

scholarly journals Life Insurance and Subsistence Consumption with an Exponential Utility

Mathematics ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 358
Author(s):  
Ho-Seok Lee
Keyword(s):  
Mortality Risk ◽  
Life Insurance ◽  
Explicit Solution ◽  
Utility Maximization ◽  
Exponential Utility ◽  
Maximization Problem ◽  
Duality Method ◽  
Utility Maximization Problem

In this paper, we derive an explicit solution to the utility maximization problem of an individual with mortality risk and subsistence consumption constraint. We adopt an exponential utility for the individual’s consumption and the martingale and duality method is employed. From the explicit solution, we exhibit how the mortality intensity and subsistence consumption constraint affect, separately and together, portfolio, consumption and life insurance purchase.

scholarly journals Dual Formulation of the Utility Maximization Problem Under Transaction Costs

2001 ◽  
Vol 11 (4) ◽  
pp. 1353-1383 ◽  
Author(s):  
Griselda Deelstra ◽  
Huyên Pham ◽  
Nizar Touzi
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Maximization Problem ◽  
Dual Formulation ◽  
Utility Maximization Problem

scholarly journals Reasoning about social preferences with uncertain beliefs

2021 ◽  
Author(s):  
isaac davis ◽  
Ryan W. Carlson ◽  
Yarrow Dunham ◽  
Julian Jara-Ettinger
Keyword(s):  
Expected Utility ◽  
Utility Maximization ◽  
Social Preference ◽  
Social Preferences ◽  
Social Judgments ◽  
Social Agents ◽  
Preference Reasoning ◽  
The Face ◽  
Expected Utility Maximization ◽  
Social Uncertainty

We propose a computational model of social preference judgments that accounts for the degree of an agents’ uncertainty about the preferences of others. Underlying this model is the principle that, in the face of social uncertainty, people interpret social agents’ behavior under an assumption of expected utility maximization. We evaluate our model in two experiments which each test a different kind of social preference reasoning: predicting social choices given information about social preferences, and inferring social preferences after observing social choices. The results support our model and highlight how un- certainty influences our social judgments.

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