Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling (Q5038295): Difference between revisions

Latest revision as of 06:04, 30 July 2024

scientific article; zbMATH DE number 7594960

Language	Label	Description	Also known as
English	Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling	scientific article; zbMATH DE number 7594960

Statements

instance of

scholarly article

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title

Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling (English)

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Springer Proceedings in Mathematics & Statistics

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publication date

30 September 2022

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zbMATH Keywords

utility aggregation

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heterogeneous preferences

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market-consistent progressive utility

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yield curve

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/978-3-030-22285-7_6

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cites work

A model for a large investor trading at market indifference prices. II: Continuous-time case.

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A Theory of the Term Structure of Interest Rates

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Financial Markets Equilibrium with Heterogeneous Agents*

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Q4218383

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Ramsey rule with forward/backward utility for long-term yield curves modeling

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Consistent utility of investment and consumption: a forward/backward SPDE viewpoint

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Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium

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On the Realized Risk of High-Dimensional Markowitz Portfolios

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Changes of numéraire, changes of probability measure and option pricing

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CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

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Q3613975

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Pareto utility

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Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off*

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Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

0 references

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

0 references

Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

0 references

Q3995203

0 references

Q3613974

0 references

Q5506195

0 references

Stochastic Partial Differential Equations and Portfolio Choice

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Portfolio Choice under Space-Time Monotone Performance Criteria

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A benchmark approach to quantitative finance

0 references

Q4429138

0 references

An equilibrium characterization of the term structure

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A dual characterization of self-generation and exponential forward performances

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Identifiers

zbMATH Open document ID

1498.60255

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DOI

10.1007/978-3-030-22285-7_6

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5038295

@@ Property / author @@
+Caroline Hillairet
@@ Property / author: Caroline Hillairet / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/978-3-030-22285-7_6
+Normal rank
@@ Property / OpenAlex ID @@
+W2789766613
@@ Property / OpenAlex ID: W2789766613 / rank @@
+Normal rank
@@ Property / cites work @@
+A model for a large investor trading at market indifference prices. II: Continuous-time case.
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Markets Equilibrium with Heterogeneous Agents*
+Normal rank
@@ Property / cites work @@
+Q4218383
@@ Property / cites work: Q4218383 / rank @@
+Normal rank
@@ Property / cites work @@
+Ramsey rule with forward/backward utility for long-term yield curves modeling
+Normal rank
@@ Property / cites work @@
+Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
+Normal rank
@@ Property / cites work @@
+Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium
+Normal rank
@@ Property / cites work @@
+On the Realized Risk of High-Dimensional Markowitz Portfolios
+Normal rank
@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
+Normal rank
@@ Property / cites work @@
+CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
+Normal rank
@@ Property / cites work @@
+Q3613975
@@ Property / cites work: Q3613975 / rank @@
+Normal rank
@@ Property / cites work @@
+Pareto utility
@@ Property / cites work: Pareto utility / rank @@
+Normal rank
@@ Property / cites work @@
+Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Trade-off*
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Q3995203
@@ Property / cites work: Q3995203 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3613974
@@ Property / cites work: Q3613974 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5506195
@@ Property / cites work: Q5506195 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Partial Differential Equations and Portfolio Choice
+Normal rank
@@ Property / cites work @@
+Portfolio Choice under Space-Time Monotone Performance Criteria
+Normal rank
@@ Property / cites work @@
+A benchmark approach to quantitative finance
@@ Property / cites work: A benchmark approach to quantitative finance / rank @@
+Normal rank
@@ Property / cites work @@
+Q4429138
@@ Property / cites work: Q4429138 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+A dual characterization of self-generation and exponential forward performances
+Normal rank