Utility of Choice: An Information Theoretic Approach to Investment Decision-making

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dc.creatorKhoshnevisan, M.
dc.creatorBhattacharya, Sukanto
dc.creatorSmarandache, Florentin
dc.date2002-12-10
dc.date.accessioned2026-07-07T06:21:27Z
dc.date.available2026-07-07T06:21:27Z
dc.descriptionIn this paper we have devised an alternative methodological approach for quantifying utility in terms of expected information content of the decision-maker's choice set. We have proposed an extension to the concept of utility by incorporating extrinsic utility; which we have defined as the utility derived from the element of choice afforded to the decision-maker by the availability of an object within his or her object set. We have subsequently applied this extended utility concept to the case of investor utility derived from a structured, financial product - an custom-made investment portfolio incorporating an endogenous capital-guarantee through inclusion of cash as a risk-free asset, based on the Black-Scholes derivative-pricing formulation.
dc.description18 pages, 3 tables
dc.identifierhttps://arxiv.org/abs/math/0212134
dc.identifierhttp://arxiv.org/abs/math/0212134
dc.identifierStudii si Cercetari Stiintifice, Series: Mathematics, University of Bacau, No. 13, 31-48, 2003.
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/95602
dc.subjectGeneral Mathematics
dc.subject91B16, 91B44, 91B06
dc.titleUtility of Choice: An Information Theoretic Approach to Investment Decision-making
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