Stochastic Partial Differential Equations and Portfolio Choice

DOI10.1007/978-3-642-03479-4_11zbMATH Open1217.91173OpenAlexW195033016MaRDI QIDQ3000883FDOQ3000883

M. Musiela, Thaleia Zariphopoulou

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_11

zbMATH Keywords

stochastic partial differential equationsportfolio choice models

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (47)

• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints
• Time-Consistent Conditional Expectation Under Probability Distortion
• Power Mixture Forward Performance Processes
• Black's Inverse Investment Problem and Forward Criteria with Consumption
• Optimal investment in defined contribution pension schemes with forward utility preferences
• Dynamic approaches for some time-inconsistent optimization problems
• Forward Exponential Indifference Valuation in an Incomplete Binomial Model
• Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
• Competition in Fund Management and Forward Relative Performance Criteria
• Stochastic differential portfolio games
• Deep learning scheme for forward utilities using ergodic BSDEs
• 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
• Rank-dependent predictable forward performance processes
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
• On the parabolic equation for portfolio problems
• INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
• Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
• Convergence rate of strong approximations of compound random maps, application to SPDEs
• DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE
• A Generalized Itô-Ventzell Formula to Derive Forward Utility Models in a Jump Market
• A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility
• A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
• Forward indifference valuation of American options
• Portfolio problems based on jump-diffusion models
• Convolutional neural network based simulation and analysis for backward stochastic partial differential equations
• AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK
• Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
• Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players
• Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
• Advanced strategies of portfolio management in the Heston market model
• Probabilistic aspects of finance
• Mean-square stability and error analysis of implicit time-stepping schemes for linear parabolic SPDEs with multiplicative Wiener noise in the first derivative
• MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS
• Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
• Nonrecursive separation of risk and time preferences
• An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
• 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
• Predictable Forward Performance Processes: The Binomial Case
• Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

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