Abstract: Logarithmic utility function is a kind of typical riskaverse utility function, in this paper, we will study the logarithmic utility function of the optimal portfolio problem. Use the method ...

This paper considers a stochastic shortest path problem where the arc lengths are independent random variables following a normal distribution. In this problem, the optimal path is one that maximizes ...

Abstract: Four known portfolios are derived using a new control theory approach. These are the mean-variance, the HARA utility, the log-optimal and the exponential utility portfolios. A single HJB ...

This note elaborates Suppes’ (1977, Erkenntnis Vol. 11, No. 1, pp 233-250) derivation of the logarithmic function as a consumer’s cardinal utility function on money income levels, in which the ...

The purpose of this article is to set up some apparently acceptable axioms about rational choices in situations, where each alternative decision has an infinite number of sure outcomes which occur ...