An entropic approach to analyze investor utility involving a financial structured product

Sukanto Bhattacharya, Kuldeep Kumar

Research output: Contribution to journalArticleResearchpeer-review

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.
Original languageEnglish
Pages (from-to)111-122
Number of pages12
JournalJournal of Economics and Management
Volume2
Issue number2
Publication statusPublished - 1 Jul 2006

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Financial products
Investors
Individual investors
Rebalancing
Fuzzy measure
Uncertainty
Structured products

Cite this

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An entropic approach to analyze investor utility involving a financial structured product. / Bhattacharya, Sukanto; Kumar, Kuldeep.

In: Journal of Economics and Management, Vol. 2, No. 2, 01.07.2006, p. 111-122.

Research output: Contribution to journalArticleResearchpeer-review

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