Title
An Entropic Approach to Analyze Investor Utility Involving a Financial Structured Product
Date of this Version
7-1-2006
Document Type
Journal Article
Abstract
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.
This document has been peer reviewed.
Publication Details
Interim status: Citation only.
Bhattacharya, Sukanto and Kumar, Kuldeep (2006) An entropic approach to analyze investor utility involving a financial structured product is published in the Journal of Economics and Management, Volume 2, Issue 2 (July 2006), pp. 111-122.
To obtain a copy of this article contact the Journal of Economics and Management published by Feng Chia University, Taiwan
2006 HERDC submission