Forward dynamic utilities: a new model and new results

Moawia, Alghalith (2010): Forward dynamic utilities: a new model and new results.

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.

• Item Type: MPRA Paper
• Language: English
• 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

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