Dynamic portfolio choice problems with non-monotone utility functions

MaRDI QIDQ3599254zbMATH OpenFDO

Authors Lili Pan, Peibiao Zhao

Publication date 3 February 2009

Full work available at URL http://www.m-hikari.com/ams/ams-password-2008/ams-password33-36-2008/zhaopeibiaoAMS33-36-2008.pdf

zbMATH Keywords

consumption-investmentcontinuous-timemean-variance preferencesportfolio monotone

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25)

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Cited in

(8)

• Dynamic portfolio choice under asset price lognormality
• Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time
• Forward dynamic utility functions: a new model and new results
• Entrepreneurial decisions on effort and project with a nonconcave objective function
• Portfolio choice under space-time monotone performance criteria
• Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
• POLYNOMIAL UTILITY
• Portfolio choice with non-expected utility in continuous time

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