On the optimal investment

DOI10.1007/978-3-319-45875-5_15MaRDI QIDQ4976507zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, José Fajardo, Olivier Menoukeu-Pamen

Publication date 31 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-45875-5_15

zbMATH Keywords

expected utilitygrowth optimal portfoliolaw invariant preferencesportfolio numeraireprospect theoryrisk aversion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Recommendations

• On the construction of optimal payoffs
• Optimal payoffs under state-dependent preferences
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• On the Method of Optimal Portfolio Choice by Cost-Efficiency
• The optimal payoff for a Yaari investor

Cites work

• A benchmark approach to quantitative finance
• A minimality property of the minimal martingale measure
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• Advances in prospect theory: cumulative representation of uncertainty
• Arbitrage in continuous complete markets
• Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
• Optimal claims with fixed payoff structure
• Optimal demand for contingent claims when agents have law invariant utilities
• Optimal investment in a Lévy market
• Optimal payoffs under state-dependent preferences
• Optimality of payoffs in Lévy models
• Prospect Theory: An Analysis of Decision under Risk
• Rationalizing investors' choices
• Some Concepts of Dependence
• Stochastic finance. An introduction in discrete time.
• The Dual Theory of Choice under Risk
• The numeraire portfolio for unbounded semimartingale
• Theory of games and economic behavior.

Cited in

(13)

• An efficient ex-ante criterion for ranking investment strategies
• Optimal investment decisions
• An evaluation of some popular investment strategies under stochastic interest rates
• On long term investment optimality
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• Zero Investment in a High Yield Asset Can be Optimal
• Optimal payoffs under state-dependent preferences
• The optimal payoff for a Yaari investor
• scientific article; zbMATH DE number 6409305 (Why is no real title available?)
• Optimal active lifetime investment
• Investment under alternative return assumptions
• On the construction of optimal payoffs
• Optimal investment with lumpy costs

This page was built for publication: On the optimal investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4976507)