Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
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References listed on IDEAS
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Cited by:
- Sergey Nadtochiy & Thaleia Zariphopoulou, 2018. "Optimal contract for a fund manager, with capital injections and endogenous trading constraints," Papers 1802.09165, arXiv.org.
- Nicole El Karoui & Caroline Hillairet & Mohamed Mrad & El Karoui & Hillairet Caroline & Mrad Mohamed, 2014. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Working Papers hal-00974815, HAL.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Post-Print hal-00974831, HAL.
- Nicole El Karoui & Caroline Hillairet & Mohamed Mrad, 2014. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Papers 1404.1895, arXiv.org.
- Mahan Tahvildari, 2021. "Forward indifference valuation and hedging of basis risk under partial information," Papers 2101.00251, arXiv.org.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Papers 1404.1913, arXiv.org.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Working Papers hal-00974831, HAL.
- Sergey Nadtochiy & Michael Tehranchi, 2013. "Optimal investment for all time horizons and Martin boundary of space-time diffusions," Papers 1308.2254, arXiv.org, revised Jan 2014.
- Nicole El Karoui & Mohamed Mrad, 2013. "An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE," Post-Print hal-00477381, HAL.
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More about this item
Keywords
Consistent utilities; progressive utilities; forward utility; performance criteria; horizon-unbiased utility; consistent utility; progressive utility; portfolio optimization; optimal portfolio; duality; minimal martingal measure; Stochastic flows of homeomorphisms;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MIC-2010-05-08 (Microeconomics)
- NEP-UPT-2010-05-08 (Utility Models and Prospect Theory)
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