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Modeling non-monotone risk aversion using SAHARA utility functions

Citations

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Cited by:

  1. Yashiv, Eran & Perets, Gadi, 2018. "Lie Symmetries and Essential Restrictions in Economic Optimization," CEPR Discussion Papers 12611, C.E.P.R. Discussion Papers.
  2. Chen, An & Hieber, Peter & Sureth, Caren, 2022. "Pay for tax certainty? Advance tax rulings for risky investment under multi-dimensional tax uncertainty," arqus Discussion Papers in Quantitative Tax Research 273, arqus - Arbeitskreis Quantitative Steuerlehre.
  3. Bahman Angoshtari & Xiang Yu & Fengyi Yuan, 2024. "Optimal consumption under loss-averse multiplicative habit-formation preferences," Papers 2406.20063, arXiv.org, revised Mar 2026.
  4. Bernard, Carole & De Gennaro Aquino, Luca & Levante, Lucia, 2021. "Optimal annuity demand for general expected utility agents," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 70-79.
  5. Dybvig, Philip & Liu, Fang, 2018. "On investor preferences and mutual fund separation," Journal of Economic Theory, Elsevier, vol. 174(C), pages 224-260.
  6. Yang Liu & Zhenyu Shen, 2024. "PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets," Papers 2406.00435, arXiv.org, revised Nov 2024.
  7. Matteo Brachetta & Hanspeter Schmidli, 2019. "Optimal Reinsurance and Investment in a Diffusion Model," Papers 1903.12426, arXiv.org.
  8. Fernando Alvarez, 2018. "A three mutual fund separation theorem," 2018 Meeting Papers 1066, Society for Economic Dynamics.
  9. Cui, Zhenyu, 2014. "Comment on “Modeling non-monotone risk aversion using SAHARA utility functions” [J. Econ. Theory 146 (2011) 2075–2092]," Journal of Economic Theory, Elsevier, vol. 153(C), pages 703-705.
  10. Chen, An & Chen, Yusha & Nguyen, Thai & Uddin, Gazi Salah, 2025. "Goal-oriented preferences for green bonds: A model of sustainable investment strategies," Economic Modelling, Elsevier, vol. 150(C).
  11. Fagart, Marie-Cécile & Fluet, Claude, 2013. "The first-order approach when the cost of effort is money," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 7-16.
  12. Chen, An & Hieber, Peter & Nguyen, Thai, 2019. "Constrained non-concave utility maximization: An application to life insurance contracts with guarantees," European Journal of Operational Research, Elsevier, vol. 273(3), pages 1119-1135.
  13. Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
  14. Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.
  15. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
  16. Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth, 2021. "A Unified Formula of the Optimal Portfolio for Piecewise Hyperbolic Absolute Risk Aversion Utilities," Papers 2107.06460, arXiv.org, revised Oct 2023.
  17. Matteo Brachetta & Hanspeter Schmidli, 2020. "Optimal reinsurance and investment in a diffusion model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 341-361, June.
  18. Moris S. Strub & Xun Yu Zhou, 2021. "Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes," Finance and Stochastics, Springer, vol. 25(2), pages 331-358, April.
  19. Panagiotis E. Souganidis & Thaleia Zariphopoulou, 2024. "Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria," Mathematics and Financial Economics, Springer, volume 18, number 10, January.
  20. Marcellino Gaudenzi & Michel Vellekoop, 2018. "Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences," Papers 1809.11010, arXiv.org.
  21. Chen, Dengsheng & Lu, Zhengyang & He, Yong, 2023. "Optimal reinsurance-investment game for two insurers with SAHARA utilities under correlated markets," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  22. Dybvig, Philip H. & Li, Shu, 2024. "Approximate utility," Finance Research Letters, Elsevier, vol. 69(PA).
  23. Taras Bodnar & Dmytro Ivasiuk & Nestor Parolya & Wofgang Schmid, 2018. "Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios," Papers 1806.08005, arXiv.org, revised May 2019.
  24. Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
  25. Christian Laudag'e & Felix-Benedikt Liebrich, 2025. "When risk defies order: On the limits of fractional stochastic dominance," Papers 2509.24747, arXiv.org.
  26. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
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