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• W2042240317 abstract "We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk-averse for very low values of wealth. The class contains the well-known exponential and power utility functions as limiting cases. We investigate the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization methods. We also show how SAHARA utility functions extend the class of contingent claims that can be valued using indifference pricing in incomplete markets." @default.
• W2042240317 created "2016-06-24" @default.
• W2042240317 creator A5013126185 @default.
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• W2042240317 date "2011-05-02" @default.
• W2042240317 modified "2023-10-02" @default.
• W2042240317 title "Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions" @default.
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• W2042240317 hasPublicationYear "2011" @default.
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