An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
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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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Keywordsforward utility; performance criteria; horizon-unbiased utility; consistent utility; progressive utility; portfolio optimization; optimal portfolio; duality; minimal martingale measure; Stochastic flows SDE; Stochastic partial differential equations;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
- NEP-ALL-2010-06-11 (All new papers)
- NEP-ORE-2010-05-08 (Operations Research)
- NEP-ORE-2010-06-11 (Operations Research)
- NEP-UPT-2010-05-08 (Utility Models & Prospect Theory)
- NEP-UPT-2010-06-11 (Utility Models & Prospect Theory)
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