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文章基本信息

  • 标题:An Entropic Approach to Analyze Investor Utility Involving a Financial Structured  Product
  • 本地全文:下载
  • 作者:Sukanto Bhattacharya ; Kuldeep Kumar
  • 期刊名称:The Journal of Management and Economics
  • 印刷版ISSN:1819-0917
  • 出版年度:2006
  • 卷号:2
  • 期号:2
  • 出版社:Faculdad de Ciencias Económicas, Universidad de Buenos Aires
  • 摘要:

    We propose an entropic model of extrinsic utility arising out of the element of choice regarding portfolio re-balancing strategies available to an individual investor who has chosen to invest in a financial structured product with a terminal payoff same as that from a rainbow option. We also propose a generalization of our posited framework by incorporating a fuzzy measure of probabilistic uncertainty concerning the nature of the structured financial product.

  • 关键词:financial structured product; rainbow option; tracking portfolio; ; ;investor utility; Shannon entropy; Markov process; fuzzy measure
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