Utility Functions

Robert Jarrow ()

Chapter Chapter 9 in Continuous-Time Asset Pricing Theory, 2021, pp 169-192 from Springer

Abstract: Abstract This chapter studies an investor’s utility function. We start with a normalized market S , 𝔽 , ℙ $$\left (S,\mathbb {F},\mathbb {P}\right )$$ where the money market account’s (mma’s) value is B t = 1 for all t ≥ 0. We let the probability measure correspond to the trader’s beliefs. We discuss differential beliefs in Sect. 9.8 below. In addition, we let the information filtration given above correspond to the trader’s information set. When we study the notion of an equilibrium in Part III of this book, we will introduce a distinction between the trader’s beliefs and the statistical probability measure, and a distinction between the trader’s information set and the information within a market.

Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-74410-6_9

Ordering information: This item can be ordered from
http://www.springer.com/9783030744106

DOI: 10.1007/978-3-030-74410-6_9

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().