Financial risk modeling | Expected utility

Hyperbolic absolute risk aversion

In finance, economics, and decision theory, hyperbolic absolute risk aversion (HARA) refers to a type of risk aversion that is particularly convenient to model mathematically and to obtain empirical predictions from. It refers specifically to a property of von Neumann–Morgenstern utility functions, which are typically functions of final wealth (or some related variable), and which describe a decision-maker's degree of satisfaction with the outcome for wealth. The final outcome for wealth is affected both by random variables and by decisions. Decision-makers are assumed to make their decisions (such as, for example, portfolio allocations) so as to maximize the expected value of the utility function. Notable special cases of HARA utility functions include the quadratic utility function, the exponential utility function, and the isoelastic utility function. (Wikipedia).

Video thumbnail

Evaluate the limit of an absolute value function by direct substitution

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

Evaluate the limit for a value of a function

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

How to evaluate the limit of a function by observing its graph

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

Learn to evaluate the limit of the absolute value function

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

Using parent graphs to understand the left and right hand limits

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

Learn how to evaluate left and right hand limits of a function

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

Mid-Term Review

MIT 14.13 Psychology and Economics, Spring 2020 Instructor: Prof. Frank Schilbach View the complete course: https://ocw.mit.edu/14-13S20 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP63Z979ri_UXXk_1zrvrF77Q In this video, Prof. Schilbach provides a review for the mid-

From playlist MIT 14.13 Psychology and Economics, Spring 2020

Video thumbnail

Evaluate the left and right hand limit by graphing the function

👉 Learn how to evaluate the limit of an absolute value function. The limit of a function as the input variable of the function tends to a number/value is the number/value which the function approaches at that time. The absolute value function is a function which only takes the positive val

From playlist Evaluate Limits of Absolute Value

Video thumbnail

Percent Uncertainty In Measurement

This video tutorial provides a basic introduction into percent uncertainty. It also discusses topics such as estimated uncertainty, absolute uncertainty, and relative uncertainty. This video provides an example explaining how to calculate the percent uncertainty in the volume of the sphe

From playlist New Physics Video Playlist

Video thumbnail

QRM L1-1: The Definition of Risk

Welcome to Quantitative Risk Management (QRM). In this first class, we define what risk if for us. We will discuss the basic characteristics of risk, underlining some important facts, like its subjectivity, and the impossibility of separating payoffs and probabilities. Understanding the d

From playlist Quantitative Risk Management

Video thumbnail

Lecture 7: Risk Preferences I

MIT 14.13 Psychology and Economics, Spring 2020 Instructor: Prof. Frank Schilbach View the complete course: https://ocw.mit.edu/14-13S20 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP63Z979ri_UXXk_1zrvrF77Q In this video, Prof. Schilbach describes how economics looks

From playlist MIT 14.13 Psychology and Economics, Spring 2020

Video thumbnail

Lecture 5: Uncertainty and Linear Programs

MIT 14.04 Intermediate Microeconomic Theory, Fall 2020 Instructor: Prof. Robert Townsend View the complete course: https://ocw.mit.edu/courses/14-04-intermediate-microeconomic-theory-fall-2020/ YouTube Playlist: https://www.youtube.com/watch?v=XSTSfCs74bg&list=PLUl4u3cNGP63wnrKge9vllow3Y2

From playlist MIT 14.04 Intermediate Microeconomic Theory, Fall 2020

Video thumbnail

Lecture 8: Risk Preferences II

MIT 14.13 Psychology and Economics, Spring 2020 Instructor: Prof. Frank Schilbach View the complete course: https://ocw.mit.edu/14-13S20 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP63Z979ri_UXXk_1zrvrF77Q This lecture continues the discussion of risk preferences, an

From playlist MIT 14.13 Psychology and Economics, Spring 2020

Video thumbnail

20. Uncertainty

MIT 14.01 Principles of Microeconomics, Fall 2018 Instructor: Prof. Jonathan Gruber View the complete course: https://ocw.mit.edu/14-01F18 YouTube Playlist: https://www.youtube.com/playlist?list=PLUl4u3cNGP62oJSoqb4Rf-vZMGUBe59G- This video explains the economic concept of decision making

From playlist MIT 14.01 Principles of Microeconomics, Fall 2018

Video thumbnail

Twenty second SIAM Activity Group on FME Virtual Talk Series

Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering. Date: Thursday, October 7, 2021, 1PM-2PM Speaker

From playlist SIAM Activity Group on FME Virtual Talk Series

Video thumbnail

Lecture 7: Pareto Optimality

MIT 14.04 Intermediate Microeconomic Theory, Fall 2020 Instructor: Prof. Robert Townsend View the complete course: https://ocw.mit.edu/courses/14-04-intermediate-microeconomic-theory-fall-2020/ YouTube Playlist: https://www.youtube.com/watch?v=XSTSfCs74bg&list=PLUl4u3cNGP63wnrKge9vllow3Y2

From playlist MIT 14.04 Intermediate Microeconomic Theory, Fall 2020

Video thumbnail

So You Have a Business Idea...How to create a compelling business for you and your stakeholders

Learn more at https://idea2market.stanford.edu/ In this webinar, Stanford Professors Michael Lepech, Pedram Mokrian and Mike Lyons, who collectively have over 60 years of experience advising, investing in, and launching hundreds of companies, will guide you through concrete ways to shape

From playlist Stanford Webinars

Video thumbnail

Michael Stringer interviewed at Strata Santa Clara 2013

http://strataconf.com/ Mike Stringer is co-founder and managing partner of Datascope Analytics. A physicist gone wild, Mike is passionate about realizing the potential for big data analytics to make a positive impact on business and society. Despite wearing a suit occasionally, he still fi

From playlist Strata Conference 2013 (Santa Clara, CA)

Video thumbnail

QRM L3-1: Introducing EVT

Welcome to Quantitative Risk Management (QRM). In this lesson, we introduce Extreme Value Theory, an important branch of statistics dealing with extremes, i.e. maxima and minima. EVT will be an essential tool for us, as it allows us to robustly model large losses, avoiding all those sill

From playlist Quantitative Risk Management

Video thumbnail

The Evolution of Irrationality: Insights from Primates - AMNH SciCafe

The ancestral history of humans and primates is extensive, but can it explain even our financial choices? New experiments in "monkeynomics" demonstrate that monkeys make some of the same silly financial choices we do -- but sometimes they make smarter choices. In this SciCafe, Yale Univers

From playlist Human Evolution

Related pages

Capital asset pricing model | Exponential utility | Wiener process | Random variable | Mutual fund separation theorem | Expected value | L'Hôpital's rule | Autocorrelation | Decision theory | Modern portfolio theory | Risk aversion | Isoelastic utility | Independent and identically distributed random variables | Multiplicative inverse | Special case