Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
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References listed on IDEAS
- 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.
- Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151.
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- 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 & Caroline Hillairet & Mohamed Mrad, 2014. "Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling," Papers 1404.1895, arXiv.org.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Papers 1404.1913, arXiv.org.
- Nicole El Karoui & Mohamed Mrad & Caroline Hillairet, 2014. "Ramsey Rule with Progressive utility and Long Term Affine Yields Curves," Working Papers hal-00974831, HAL.
More about this item
KeywordsConsistent 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;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
- NEP-MIC-2010-05-08 (Microeconomics)
- NEP-UPT-2010-05-08 (Utility Models & Prospect Theory)
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