Investments and forward utilities

Abstract

This paper proposes a new approach for portfolio allocation. The novel concept of forward dynamic utility is introduced. General classes of such utilities are constructed by combining the local variational util-ity input with the market dynamics represented by multidimensional Ito process. Explicit closed form expressions for optimal allocations are ob-tained. They depend exclusively on the optimal wealth level and the utility-generated measure of risk. 1

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 24 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.