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On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution.
Robert Navratil
Stephen Taylor
Jan Vecer
Published in:
Eur. J. Oper. Res. (2022)
Keyphrases
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risk neutral
utility maximization
utility function
risk averse
risk aversion
risk sensitive
probability distribution
expected utility
decision makers
decision problems
decision theory
stochastic gradient
learning algorithm
stock price