• East Asian mathematical journal
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• v.34 no.1
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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.

• Bulletin of the Korean Mathematical Society
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• v.60 no.4
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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.

• Environmental and Resource Economics Review
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• v.11 no.4
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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.

• Journal of Distribution Science
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• v.11 no.5
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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.

• Journal of the Korea Society of Computer and Information
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• v.19 no.8
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• pp.55-62
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• 2014

A game theoretic approach is applied for studying the energy efficient rate scheduling. The individual utility function is defined first. Then, a non cooperative rate game is modeled in which each user decides the transmission rate to maximize its own utility. The utility function considered here is the consumed energy for the individual user's data transmissions. In particular, using the fact that the utility function is convex, we prove the existence of Nash Equilibrium in the energy efficient rate scheduling problem at hand. Accordingly, a non cooperative scheduling algorithm is provided. For better energy efficiency, the sum of the individual user's utility function is optimized Finally, the convergence analysis and numerical results to show the energy efficiency of the proposed algorithms are provided.

• Journal of the Korean Operations Research and Management Science Society
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• v.13 no.2
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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.

• East Asian mathematical journal
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• v.34 no.3
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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.

• Journal of applied mathematics & informatics
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• v.36 no.3_4
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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.

• Journal of the Korea Society of Computer and Information
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• v.25 no.7
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• pp.75-83
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• 2020

We consider the D2D utility optimization problem in the cellular system. More specifically, we develop a concave function decision rule which reduces the complexity of non-convex optimization problem. Typically, utility function, which is a function of the signal and the interference, is non-convex. In this paper, we analyze the utility function from the interference perspective. We introduce the 'relative interference' and the 'interference majorization'. The relative interference captures the level of interference at D2D receiver's perspective. The interference majorization approximates the interference by applying the major interference. Accordingly, we propose a concave function decision rule, and the corresponding convex optimization solution. Simulation results show that the utility function is concave when the relative interference is less than 0.1, which is a typical D2D usage scenario. We also show that the proposed convex optimization solution can be applied for such relative interference cases.

• Proceedings of the KIPE Conference
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• 1998.07a
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• pp.48-53
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• 1998

This paper describes on the development of Controller for the Utility Car using Microprocessor. The Utility Car is composed of Controller, separately exited DC motor, battery and potbox. It is easier to for a digitalized controller using microprocessor append new function than an analogized controller. The test driving of controller shows that the Utility Car travels 20 [km] per charge.