Forward dynamic utility functions: a new model and new results

DOI10.1016/j.ejor.2012.06.043zbMath1292.91198MaRDI QIDQ2253402

Moawia Alghalith

Publication date: 27 July 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.06.043

zbMATH Keywords

portfolio; investment; viscosity solutions; stochastic; forward utility

Mathematics Subject Classification ID

91B16: Utility theory

91G80: Financial applications of other theories

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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Indifference pricing of insurance-linked securities in a multi-period model, Horizon-unbiased investment with ambiguity, A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market

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