Pareto Distribution of Consumption Values as an Origin of Utility Functions over Wealth with Constant Elasticity

2020 ◽  
Author(s):  
Chishio Furukawa
Keyword(s):  
Pareto Distribution ◽  
Utility Functions ◽  
Constant Elasticity ◽  
Consumption Values

scholarly journals On the Modified Optimal Investment Strategy for Annuity Contracts under the Constant Elasticity of Variance (CEV) Model

2019 ◽  
pp. 63-90
Author(s):  
K. N. C. Njoku ◽  
B. O. Osu
Keyword(s):  
Risk Aversion ◽  
Absolute Risk ◽  
Investment Strategy ◽  
Utility Functions ◽  
Pension Scheme ◽  
Legendre Transform ◽  
Defined Contribution ◽  
Cev Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance

In this work, the optimal pension wealth investment strategy during the decumulation phase, in a defined contribution (DC) pension scheme is constructed. The pension plan member is allowed to invest in a risk free and a risky asset, under the constant elasticity of variance (CEV) model. The explicit solution of the constant relative risk aversion (CRRA) and constant absolute risk aversion (CARA) utility functions are obtained, using Legendre transform, dual theory, and change of variable methods. It is established herein that the elastic parameter, β, say, must not necessarily be equal to one (β ≠ 1). A theorem is constructed and proved on the wealth investment strategy. Observations and significant results are made and obtained, respectively in the comparison of our various utility functions and some previous results in literature.

Analysis of power law assumptions for short-period comets and Kuiper bodies

1999 ◽  
Vol 173 ◽  
pp. 289-293 ◽  
Author(s):  
J.R. Donnison ◽  
L.I. Pettit
Keyword(s):  
Power Law ◽  
Pareto Distribution ◽  
Limited Data ◽  
Short Period ◽  
Probability Plots ◽  
Exponential Probability

AbstractA Pareto distribution was used to model the magnitude data for short-period comets up to 1988. It was found using exponential probability plots that the brightness did not vary with period and that the cut-off point previously adopted can be supported statistically. Examination of the diameters of Trans-Neptunian bodies showed that a power law does not adequately fit the limited data available.

Estimating parameters Gumbel Pareto Distribution

2018 ◽  
Vol 14 (2) ◽  
pp. 53-60
Author(s):  
Mahdi Wahab Namah Nasrallah ◽  
Keyword(s):  
Pareto Distribution
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