Forward dynamic utility functions: a new model and new results
DOI10.1016/J.EJOR.2012.06.043zbMATH Open1292.91198OpenAlexW2073955344MaRDI QIDQ2253402FDOQ2253402
Authors: 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
Recommendations
- scientific article; zbMATH DE number 5499205
- Dynamic portfolio choice problems with non-monotone utility functions
- Black's inverse investment problem and forward criteria with consumption
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Predictable forward performance processes: the binomial case
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80)
Cites Work
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Optimal Control with State-Space Constraint I
- Viscosity Solutions of Hamilton-Jacobi Equations
- Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal investment strategy to minimize occupation time
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Minimal Hellinger martingale measures of order \(q\)
- Portfolio choice under space-time monotone performance criteria
- A new stochastic factor model: general explicit solutions
- A dual characterization of self-generation and exponential forward performances
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
Cited In (7)
- Indifference pricing of insurance-linked securities in a multi-period model
- Predictable forward performance processes: the binomial case
- Title not available (Why is that?)
- A generalized Itō-Ventzell formula to derive forward utility models in a jump market
- Dynamic adjustment cost models with forward‐looking behaviour
- Horizon-unbiased investment with ambiguity
- Explicit description of HARA forward utilities and their optimal portfolios
This page was built for publication: Forward dynamic utility functions: a new model and new results
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2253402)
