We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated ...
Mathematics of Operations Research, Vol. 41, No. 1 (February 2016), pp. 146-173 (28 pages) This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) ...
Lundy, Taylor, Alexander Wei, Hu Fu, Scott Duke Kominers, and Kevin Leyton-Brown. "Allocation for Social Good: Auditing Mechanisms for Utility Maximization." Proceedings of the ACM Conference on ...
While economic textbooks have long relied on a utility-maximization model of economic decision-making, Robert J. Shiller and other behavioral economists continue to demonstrate that human behavior is ...
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