• East Asian mathematical journal
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• 제34권1호
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• pp.1-16
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• 2018

We study an optimization problem for hyperbolic absolute risk aversion (HARA) utility function under two-factor Heston's stochastic volatility model. It is not possible to obtain an explicit solution because our financial market model is complicated. However, by using asymptotic analysis technique, we find the explicit forms of the approximations of the optimal value function and the optimal strategy for HARA utility function.

• 대한수학회보
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• 제60권4호
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• pp.1101-1129
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• 2023

In this study we propose a model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature, and provide a methodology to solve the model. Different from the traditional approach, we consider the problems before and after retirement simultaneously and identify the difference in the dual value functions as the utility value of lifetime labor. The utility value has an option nature, namely, it is the maximized value of choosing the retirement time optimally and we discover it by solving a variational inequality. Then, we discover the dual value functions by using the utility value. We discover the value function and optimal policies by establishing a duality between the value function and the dual value function. The model and approach offer a significant advantage for computation of optimal policies for a large class of problems.

• 자원ㆍ환경경제연구
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• 제11권4호
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• pp.689-706
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• 2002

This paper makes some contributions on optimal environmental taxes in the generalized utilitarian social welfare function. It is not to suggest as to appropriate environmental tax rates but to contribute the direction of environmental tax policy. The tax rates depend on parameters of individual utility function (CES utility function) and social welfare function and income tax rate. The major findings are that, as the elasticity of substitution between labor and leisure and the concavity of social welfare function increase, both the optimal tax rates and the government demogrants rise. And, as the parameter of environmental pollution in the individual utility function increases, the optimal tax rates also increase. For the future study, this model involves the income tax and the capital tax as endogenous variables and the wage changes due to international trade.

• 유통과학연구
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• 제11권5호
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• pp.63-76
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• 2013

Purpose - For the past several decades, behavioral economics or behavioral decision theory has undergone rapid development. This study provides a critical review of the development of behavioral economics with a focus on what are deemed to be core theories in the field. Starting from the utility function proposed by Daniel Bernoulli in the 18th century, the development history of utility functions until the emergence of the prospect theory is thoroughly reviewed. Some of the experimental results violating the traditionally assumed utility function and supporting the prospect theory value function are summarized. The most representative principles of rational choice are transitivity, independence from irrelevant alternatives (IIA), and regularity. The development of behavioral economics has been triggered by finding counter-examples to these principles. Some of the choice behaviors discussed in this study as counter-examples to the traditional theories of rational choice are the St. Petersburg paradox; the Allais paradox; gambling behavior; and the various context effects including the similarity effect, attraction effect, and the compromise effect. The Elimination-by-Aspects (EBA) model, which was proposed as an explanation for the similarity effect, is discussed in detail as well. Based on the literature review and further analysis, this study summarizes the relationship between the context effects, prospect theory, and EBA model. Research design, data, and methodology - This study provides an extensive literature review on several important theories in the field of behavioral decision theory and adds some critical comments to the theories and the relationships among them. This study first reviews the development of utility functions. Daniel Bernoulli introduced the concept of utility function to solve the St. Petersburg paradox. In the mid-20th century, Herbert Simon proposed the "satisficing" heuristic and presented a value function with a shape different from traditional utility functions. This study highlights the strengths and weaknesses of several utility functions proposed until the emergence of the prospect theory value function. Results - This study posits that prospect theory and EBA model are the two most important theories in the field of behavioral decision theory. They can explain various choice behaviors that traditional utility maximization analysis has been unable to. The application of these models to various fields is further increasing nowadays. This study explains how prospect theory and the EBA model can be used to explain the context effects. Conclusions - The traditional economic theory relies on a single variable called "utility" in explaining consumer choice. However, this study argues that, in investigating consumer choice, several other variables should also be considered. These are the similarity among alternatives, an alternative's prototypicality within the category, the dominance relationship between alternatives, and the reference point in evaluating alternatives. Due to the development of behavioral economics, we are now closer to a more complete understanding of consumer choice behavior than in the past when we had only a single tool called utility.

• 한국컴퓨터정보학회논문지
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• 제19권8호
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• pp.55-62
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• 2014

게임이론을 적용하여 에너지 효율적인 전송률 스케줄링 방안을 제안한다. 먼저, 개별 단말의 효용함수를 정의하고, 효용함수를 최적화하도록 에너지를 결정하는 비협력적 전송률 게임을 모델링한다. 여기서, 효용함수는 개별 단말이 데이터 전송시 소모하는 전송 에너지이다. 특히, 개별 단말의 효용함수가 Convex 함수임을 이용하여 에너지 효율적인 전송률 스케줄링 문제가 나쉬 평형이 존재함을 증명하고, 이를 기반으로 비협력적 스케줄링 알고리즘을 제안한다. 또한, 에너지 효율의 개선을 위해서 개별 단말의 효용함수의 합을 최적화하는 협력적 스케줄링 알고리즘도 제안한다. 성능 분석을 위하여 비협력적 알고리즘과 협력적 알고리즘의 수렴도 결과와 에너지 효율성 결과를 제시한다.

• 한국경영과학회지
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• 제13권2호
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• pp.66-71
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• 1988

Let B be present value of some sequence. This paper concerns the maximization of the expected utility of the present value B when the utility function is exponential.

• Journal of applied mathematics & informatics
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• 제36권3_4호
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• pp.301-306
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• 2018

I obtain the optimal portfolio and consumption strategies of an investor who have a Cobb-Douglas utility function. And I assume that there is negative wealth constraints. This constraints mean that the investor can borrow partially against her future labor income.

• East Asian mathematical journal
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• 제34권3호
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• pp.331-338
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• 2018

We investigate the optimal consumption and portfolio strategies of an agent who has a constant elasticity of substitution (CES) utility function under the negative wealth constraint. We use the martingale method to derive the closed-form solution, and we give some numerical implications.

• 한국컴퓨터정보학회논문지
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• 제25권7호
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• pp.75-83
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• 2020

셀룰라 시스템에서 D2D 유틸리티 최적화 문제를 연구하도록 한다. 구체적으로, Non-Convex 최적화 문제의 복잡도를 완화하도록 해주는 오목함수 결정규칙을 제안하고자 한다. 일반적으로, 유틸리티 함수는 신호와 간섭의 함수이며, 해법이 복잡한 Non-Convex 형태를 가진다. 본 논문에서는 간단한 해법을 찾고자 유틸리티 함수를 간섭관점에서 분석한다. 먼저 D2D 수신단에서의 간섭 레벨을 의미하는 '상대간섭'과 간섭을 주요간섭으로 간략화하는 '간섭주요화'를 수식적으로 정의한다. 정의한 간섭주요화를 바탕으로 간단한 해법의 기반이 되는 오목함수 결정규칙과 최적화 해법이 간단한 Convex Optimization 해법을 제안하도록 한다. 실험결과를 통하여 유틸리티 함수는 D2D 적용시나리오에 해당하는 수치인 상대간섭 0.1 이하에서는 오목함수임을 확인하였다. 또한, 제안하는 Convex Optimization 해법은 상대간섭 수치 0.1 이하에서 적용이 가능함을 확인하였다.

• East Asian mathematical journal
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• 제33권1호
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• pp.23-36
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• 2017

We study an optimization problem for HARA utility function under a multi-scale Heston's stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.