An Entropic Approach to Analyze Investor Utility Involving a Financial Structured Product
Date of this Version
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 is currently not available here.
This document has been peer reviewed.