Stochastic Partial Differential Equations and Portfolio Choice
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Publication:3000883
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Cited in
(50)- Dynamically consistent investment under model uncertainty: the robust forward criteria
- A stochastic partial differential equation for stock-price distributions
- Portfolio problems based on jump-diffusion models
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Dynamic approaches for some time-inconsistent optimization problems
- 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
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- A class of homothetic forward investment performance processes with non-zero volatility
- Convolutional neural network based simulation and analysis for backward stochastic partial differential equations
- Mixture of consistent stochastic utilities and \textit{a priori} randomness
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
- Recover dynamic utility from observable process: application to the economic equilibrium
- Note on a nonlinear evolution equation for the risk preference
- \(G\)-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
- Forward utility and market adjustments in relative investment-consumption games of many players
- New stochastic calculus
- Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
- An ergodic BSDE risk representation in a jump-diffusion framework
- Competition in fund management and forward relative performance criteria
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Nonrecursive separation of risk and time preferences
- Probabilistic aspects of finance
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Deep learning scheme for forward utilities using ergodic BSDEs
- Convergence rate of strong approximations of compound random maps, application to SPDEs
- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
- Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
- Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
- Black's inverse investment problem and forward criteria with consumption
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Predictable forward performance processes: the binomial case
- Dynamic utility and related nonlinear SPDEs driven by Lévy noise
- Forward exponential indifference valuation in an incomplete binomial model
- On the parabolic equation for portfolio problems
- A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
- Advanced strategies of portfolio management in the Heston market model
- Time-consistent conditional expectation under probability distortion
- Forward indifference valuation of American options
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Stochastic differential portfolio games
- INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
- Optimal contract for a fund manager with capital injections and endogenous trading constraints
- Forward indifference valuation for dynamically incoming projects
- Mean field and \(n\)-player games in Ito-diffusion markets under forward performance criteria
- Optimal liquidation with dynamic parameter updating: a forward approach
- Power Mixture Forward Performance Processes
- Rank-dependent predictable forward performance processes
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