Title

An Entropic Approach to Analyze Investor Utility Involving a Financial Structured Product

Date of this Version

7-1-2006

Document Type

Journal Article

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

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.

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This document has been peer reviewed.