Portfolio choice under dynamic investment performance criteria (Q3623405): Difference between revisions

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+https://doi.org/10.1080/14697680802624997
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+W2100359260
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@@ Property / cites work @@
+Minimal Hellinger martingale measures of order \(q\)
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+Utility maximization in incomplete markets with random endowment
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+Horizon-unbiased utility functions
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+Optimal investment with random endowments in incomplete markets.
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
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+Stationary Ordinal Utility and Impatience
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+Stationary Utility and Time Perspective
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+Optimal Asset Allocation under Forward Exponential Performance Criteria
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+A super-martingale property of the optimal portfolio process
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+Forward differential dynamic programming
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+Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
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