INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
From MaRDI portal
Publication:3086256
DOI10.1142/S0219024911006267zbMath1213.91142MaRDI QIDQ3086256
Marek Musiela, Thaleia Zariphopoulou
Publication date: 30 March 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G10: Portfolio theory
Related Items
Dynamic preferences for popular investment strategies in pension funds, MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS, Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation, Black's Inverse Investment Problem and Forward Criteria with Consumption, Predictable Forward Performance Processes: The Binomial Case, Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion, Predictable forward performance processes in complete markets, Optimal investment in defined contribution pension schemes with forward utility preferences, Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities, Modeling non-monotone risk aversion using SAHARA utility functions, Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes, Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences, Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations, A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
Cites Work
- Unnamed Item
- Unnamed Item
- A dual characterization of self-generation and exponential forward performances
- Stochastic Partial Differential Equations and Portfolio Choice
- Portfolio Choice under Space-Time Monotone Performance Criteria
- Portfolio choice under dynamic investment performance criteria
- Optimal Asset Allocation under Forward Exponential Performance Criteria
