Portfolio choice under dynamic investment performance criteria
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Publication:3623405
DOI10.1080/14697680802624997zbMath1158.91387OpenAlexW2100359260MaRDI QIDQ3623405
Marek Musiela, Thaleia Zariphopoulou
Publication date: 20 April 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802624997
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Cites Work
- Minimal Hellinger martingale measures of order \(q\)
- Forward differential dynamic programming
- A super-martingale property of the optimal portfolio process
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Optimal investment with random endowments in incomplete markets.
- Horizon-unbiased utility functions
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Stationary Utility and Time Perspective
- Stationary Ordinal Utility and Impatience
- Utility maximization in incomplete markets with random endowment
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