I want to show that constrained maximization or any similar proposal cannot be coherently supported by expected utility theory. First, I point to an important implication of that theory. Second, I ...

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated ...

When economists look at utility maximizing, they do so assuming that the individual cares only about their own utility, and not about the bigger world in general. I propose that research is often not ...