Ramsey rule with forward/backward utility for long-term yield curves modeling
DOI10.1007/S10203-022-00370-1zbMATH Open1492.91395OpenAlexW4280633332MaRDI QIDQ2145705FDOQ2145705
Authors: Caroline Hillairet, Mohamed Mrad, Nicole El Karoui 
Publication date: 17 June 2022
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-022-00370-1
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Ramsey ruleforward/backward portfolio optimizationlong-run ratesmarginal indifference pricingmarket-consistent progressive utility of investment and consumptionyields curves
Portfolio theory (91G10) Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (11)
- Black's Inverse Investment Problem and Forward Criteria with Consumption
- Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
- Deep learning scheme for forward utilities using ergodic BSDEs
- Optimal liquidation with dynamic parameter updating: a forward approach
- The consumption-based determinants of the term structure of discount rates
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- \(G\)-forward performance process and representation of homothetic case via ergodic quadratic \(G\)-BSDE
- Bi-revealed utilities in a defaultable universe: a new point of view on consumption
- Optimal investment and consumption with forward preferences and uncertain parameters
- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
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