Forward dynamic utility functions: a new model and new results

DOI10.1016/J.EJOR.2012.06.043MaRDI QIDQ2253402zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolioinvestmentstochasticviscosity solutionsforward utility

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Utility theory (91B16) Financial applications of other theories (91G80)

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Cites work

• A dual characterization of self-generation and exponential forward performances
• A new stochastic factor model: general explicit solutions
• ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
• Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
• Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
• Minimal Hellinger martingale measures of order \(q\)
• Optimal Control with State-Space Constraint I
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal investment strategy to minimize occupation time
• Portfolio choice under space-time monotone performance criteria
• Viscosity Solutions of Hamilton-Jacobi Equations

Cited in

(7)

• Indifference pricing of insurance-linked securities in a multi-period model
• Predictable forward performance processes: the binomial case
• scientific article; zbMATH DE number 5702710 (Why is no real title available?)
• 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

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