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

Date of this Version


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.
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2006 HERDC submission


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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