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 HAL in its series Working Papers with number hal-00477380.
Date of creation: 01 Apr 2010
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Consistent utilities; progressive utilities; forward utility; performance criteria; horizon-unbiased utility; consistent utility; progressive utility; portfolio optimization; optimal portfolio; duality; minimal martingal measure; Stochastic flows of homeomorphisms;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eckhard Platen, 2004.
"A Benchmark Approach to Finance,"
Research Paper Series
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, vol. 11(3), pages 399-427, July.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Working Papers hal-00974831, HAL.
- Nicole El Karoui & Caroline Hillairet & Mohamed Mrad, 2014. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Papers 1404.1895, arXiv.org.
- Nicole El Karoui & Caroline Hillairet & Mohamed Mrad, 2014. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Working Papers hal-00974815, HAL.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Papers 1404.1913, arXiv.org.
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