As one step toward the implementation of a utility-dependent portfolio methodology, the paper empirically estimates a family of flexible functional form utility functions (defined over mean and ...

Illustrating Expected Utility Maximization in MaxiFiPRO To illustrate portfolio guidance based on expected utility maximization, consider a hypothetical 54 year-old couple, Martha and Sam.

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and ...