Mixture of consistent stochastic utilities and \textit{a priori} randomness

DOI10.1142/S0219024921500023MaRDI QIDQ4990917zbMATH OpenOpenAlexFDO

Authors 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

aggregated portfoliosaggregated utilitiesconsistent utilitydualityforward utilityhorizon-unbiased utilityoptimal portfolioperformance criteriaportfolio optimizationprogressive utilitystochastic flowsstochastic partial differential equation

Mathematics Subject Classification ID

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

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Cites work

• A dual characterization of self-generation and exponential forward performances
• An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE
• An example of indifference prices under exponential preferences
• Consistent utility of investment and consumption: a forward/backward SPDE viewpoint
• Convergence rate of strong approximations of compound random maps, application to SPDEs
• Horizon-unbiased utility functions
• scientific article; zbMATH DE number 3503742 (Why is no real title available?)
• Inf-convolution of risk measures and optimal risk transfer
• INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
• Minimal Hellinger martingale measures of order \(q\)
• Optimal Asset Allocation under Forward Exponential Performance Criteria
• Pareto optimality and competitive equilibrium in infinite horizon economies
• Pareto optimality in multiobjective problems
• Pareto optimality, game theory and equilibria
• Portfolio choice under space-time monotone performance criteria
• Recover dynamic utility from observable process: application to the economic equilibrium
• Stochastic Partial Differential Equations and Portfolio Choice
• The Role of the Appell Transformation in the Theory of Heat Conduction

Cited in

(6)

• Revisiting consistency with random utility maximisation: theory and implications for practical work
• Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory
• Mixture Symmetry and Quadratic Utility
• The stochastic field of aggregate utilities and its saddle conjugate
• Dynamic utility and related nonlinear SPDEs driven by Lévy noise
• Time-consistent pension policy with minimum guarantee and sustainability constraint

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