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 language | English |
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| Pages (from-to) | 111-122 |
| Number of pages | 12 |
| Journal | Journal of Economics and Management |
| Volume | 2 |
| Issue number | 2 |
| Publication status | Published - 1 Jul 2006 |