Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
From MaRDI portal
Publication:2967981
DOI10.1137/S0040585X97T988009zbMath1358.91090arXiv1307.0785OpenAlexW2963416679MaRDI QIDQ2967981
Publication date: 9 March 2017
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.0785
parametrizationmultidimensional semimartingalesHellinger processforward utilityminimal martingale Hellinger density
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Related Items (7)
Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Power Mixture Forward Performance Processes ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Explicit Description of HARA Forward Utilities and Their Optimal Portfolios ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Calcul stochastique et problèmes de martingales
- Market viability via absence of arbitrage of the first kind
- On the variation distance for probability measures defined on a filtered space
- How non-arbitrage, viability and numéraire portfolio are related
- Valuing the option to invest in an incomplete market
- Minimal Hellinger martingale measures of order \(q\)
- Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
- A dual characterization of self-generation and exponential forward performances
- Random utility systems - the infinite case
- Martingales and stochastic integrals in the theory of continuous trading
- Convex duality in constrained portfolio optimization
- A general version of the fundamental theorem of asset pricing
- A complete explicit solution to the log-optimal portfolio problem.
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The random utility model with an infinite choice space
- Horizon-unbiased utility functions
- Forward Exponential Performances: Pricing and Optimal Risk Sharing
- Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
- OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
- Maturity-Independent Risk Measures
- Portfolio Choice under Space-Time Monotone Performance Criteria
- Portfolio choice under dynamic investment performance criteria
- An Estimate of Closeness in Variation of Probability Measures
- Utility Maximization with Discretionary Stopping
- Three Essays on Exponential Hedging with Variable Exit Times
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
- Convex Analysis
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- Utility maximization in incomplete markets with random endowment
This page was built for publication: Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
