MIXTURE OF CONSISTENT STOCHASTIC UTILITIES AND A PRIORI RANDOMNESS

DOI10.1142/S0219024921500023zbMath1467.91165OpenAlexW2805600121MaRDI QIDQ4990917

Mohamed Mrad

Publication date: 1 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500023

zbMATH Keywords

dualityportfolio optimizationstochastic partial differential equationoptimal portfoliostochastic flowsperformance criteriaforward utilityconsistent utilityhorizon-unbiased utilityprogressive utilityaggregated portfoliosaggregated utilities

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (1)

DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE

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