Optimal Asset Allocation under Forward Exponential Performance Criteria
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 5657872
- Stochastic modeling and methods in optimal portfolio construction
- Portfolio choice under dynamic investment performance criteria
- Portfolio choice under space-time monotone performance criteria
- INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
Cited in
(34)- A dual characterization of self-generation and exponential forward performances
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment
- Horizon-unbiased investment with ambiguity
- 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 Itō-Ventzell formula to derive forward utility models in a jump market
- Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
- Conditional certainty equivalent
- INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
- Portfolio choice under dynamic investment performance criteria
- Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
- Model-based pairs trading in the bitcoin markets
- Stochastic modeling and methods in optimal portfolio construction
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Forward exponential indifference valuation in an incomplete binomial model
- Mixture of consistent stochastic utilities and \textit{a priori} randomness
- Stability of the indirect utility process
- An ergodic BSDE risk representation in a jump-diffusion framework
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Power Mixture Forward Performance Processes
- Systems of ergodic BSDEs arising in regime switching forward performance processes
- On a dynamic adaptation of the Distribution Builder approach to investment decisions
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
- Optimal investment in a large population of competitive and heterogeneous agents
- Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- Optimal investment and consumption with forward preferences and uncertain parameters
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- Robust forward investment and consumption under drift and volatility uncertainties: a randomization approach
- Optimal investment and reinsurance under exponential forward preferences
This page was built for publication: Optimal Asset Allocation under Forward Exponential Performance Criteria
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3626714)
