Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
AbstractThe paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined from a general class of processes denoted by $\GX$. Making minimal assumptions and convex constraints on test-processes, we construct by composing two stochastic flows of homeomorphisms, all the consistent stochastic utilities whose the optimal-benchmark process is given, strictly increasing in its initial condition. Proofs are essentially based on stochastic change of variables techniques.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1004.5192.
Date of creation: Apr 2010
Date of revision: Apr 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
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- Eckhard Platen, 2004.
"A Benchmark Approach to Finance,"
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney
138, Quantitative Finance Research Centre, University of Technology, Sydney.
- Tahir Choulli & Christophe Stricker & Jia Li, 2007. "Minimal Hellinger martingale measures of order q," Finance and Stochastics, Springer, Springer, vol. 11(3), pages 399-427, July.
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