1 School of Statistics, Beijing Normal University, Beijing, China. 2 College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, China. 3 Department of Economics, ...

7 Department of Economics, Hong Kong Baptist University, Hong Kong, China Using polynomials to approximate the expected utility function is one of the important issues in finance (see, for example, ...

Abstract: A continuous-time dynamic portfolio selection problem is studied in an incomplete market. Explicit form solutions of optimal portfolios are derived in a complete market for exponential ...

Abstract: A buying price equation for lotteries identical to that implied by exponential utility is derived using a constraint on the probability of ruin for indefinitely repeated play. Applications ...