The work is inspired by the intuition that HARA controllers, while being robust, may give better performance than exponential controllers in normal situations.
A control methodology based on the HARA utility function is presented as an alternative to the exponential-of-an-integral approach to finding robust�...
A control methodology based on the HARA utility function is presented as an alternative to the exponential-of-an-integral approach to finding robust�...
In this paper, a control methodology based on the. HARA utility function is presented as an alternative to the exponential-of-an-integral approach to�...
People also ask
What is the Hara utility function?
What is the function of optimal control?
Sep 24, 2015 � The model features a differential equation, which expresses the relevant optimality condition (the Bellman equation). The latter incorporates�...
We give an explicit expression for the optimal investment strategy, under the constant elasticity of variance (CEV) model, which maximizes the expected HARA�...
Abstract: In this paper we analyse a pure jump incomplete market where the risky assets can jump upwards or downwards. In this market we show that,.
The utility function is HARA with exponent −∞ <γ< 1. The problem can be reformulated as an infinite time horizon, risk sensitive control problem. Then the�...
May 9, 2022 � We derive the optimal triplet for the HV case: We start by defining the auxiliary utility function using the simplified HARA utility function.
In the utility theory, Hyperbolic Absolute Risk Aversion (HARA) utility consists of CRRA utility, CARA utility and Logarithmic utility as special cases. In�...