Alghalith, Moawia (2010): Forward dynamic utilities: a new model and new results.
This is the latest version of this item.
Download (124kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Forward dynamic utilities: a new model and new results|
|Keywords:||forward dynamic utility, investment, portfolio, uncertainty, risk, stochastic|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G10 - General
D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D80 - General
|Depositing User:||Moawia Alghalith|
|Date Deposited:||09. Apr 2010 11:53|
|Last Modified:||30. Apr 2015 05:45|
Bardi, M. and I. Capuzzo Dolcetta (1997). Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations, Birkhauser Boston.
Duffie, D. and T. Zariphopoulou (1993)."Optimal investment with undiversiable income risk," Mathematical Finance, 3, 135-148.
Minani, F. (2007). Hausdorff continuous viscosity solutions to Hamilton-Jacobi equations and their numerical analysis. Unpublished Ph.D. thesis, University of Pretoria.
Musiela, M. and T. Zariphopoulou (2009). "Portfolio choice under dynamic investment performance criteria." Quantitative Finance, 9, pp 161 - 170.
Musiela, M. and T. Zariphopoulou (2007). "Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model." in Advances in Mathematical Finance, Birkhauser, Boston, pp 303-334.
Musiela, M. and T. Zariphopoulou (2005). "The backward and forward dynamic utilities and their associated systems: the case study of the binomial model." in Indifference Pricing. Princeton University Press.
Zariphopoulou, T. (2009). "Optimal asset allocation in a stochastic factor model - an overview and open problems." Preprint.
Available Versions of this Item
Forward dynamic utilities: a new model and new results. (deposited 04. Mar 2010 10:57)
- Forward dynamic utilities: a new model and new results. (deposited 09. Apr 2010 11:53) [Currently Displayed]