Forward indifference valuation for dynamically incoming projects
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Publication:6586872
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Cites work
- scientific article; zbMATH DE number 5529012 (Why is no real title available?)
- scientific article; zbMATH DE number 5497555 (Why is no real title available?)
- A class of homothetic forward investment performance processes with non-zero volatility
- 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
- Optimal investment for all time horizons and Martin boundary of space-time diffusions
- Portfolio choice under dynamic investment performance criteria
- Portfolio choice under space-time monotone performance criteria
- Pricing via utility maximization and entropy.
- Stochastic Partial Differential Equations and Portfolio Choice
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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