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Forward dynamic utilities: a new model and new results

Author

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  • Moawia, Alghalith

Abstract

We present a new model of forward dynamic utilities. In doing so, we provide unique (viscosity) solutions. In addition, we introduce Hausdorff-continuous viscosity solutions to the portfolio model.

Suggested Citation

  • Moawia, Alghalith, 2010. "Forward dynamic utilities: a new model and new results," MPRA Paper 21074, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:21074
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    File URL: https://mpra.ub.uni-muenchen.de/21946/1/MPRA_paper_21946.pdf
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    References listed on IDEAS

    as
    1. Darrell Duffie & Thaleia Zariphopoulou, 1993. "Optimal Investment With Undiversifiable Income Risk," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 135-148, April.
    2. M. Musiela & T. Zariphopoulou, 2009. "Portfolio choice under dynamic investment performance criteria," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 161-170.
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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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