近似效用

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-08-30 DOI:10.1016/j.frl.2024.106042

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引用次数: 0

摘要

当且仅当效用函数的上下限为二次函数时，在极限中逼近套利或完全对冲意味着效用的逼近（形式上，期望效用在 L2 中是连续的）。我们描述了某些特殊效用函数在所有随机消费中连续时的特征，这些效用函数有一个共同的下限。如果没有下限，只有线性、二次，在某些情况下还有翻译成 SAHARA 的效用函数是连续的。我们还描述了定义在凸子集上的效用函数何时可以扩展为在所有 R 上 L2- 连续的非递减凹效用函数。

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Approximate utility

Approximating arbitrage or a perfect hedge in a limit implies approximation in utility (formally, expected utilities are continuous in $L^{2}$ ), if and only if the utility function is bounded above and below by quadratics. We characterize when some special utility functions are continuous for all random consumptions with a common lower bound. Only linear, quadratic, and, in some cases, translated SAHARA utilities are continuous if there is no lower bound. We also characterize when a utility function defined on a convex subset can be extended to an $L^{2}$ -continuous nondecreasing and concave utility function on all of $R$ .

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance