An Entropic Approach to Analyze Investor Utility Involving a Financial Structured ProductBond Business School Publications
Date of this Version7-1-2006
Document TypeJournal Article
AbstractWe 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.
Citation InformationSukanto Bhattacharya and Kuldeep Kumar. "An Entropic Approach to Analyze Investor Utility Involving a Financial Structured Product" (2006)
Available at: http://works.bepress.com/kuldeep_kumar/2/