Chapter2007

Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model

73 citations0/0 files storedBirkhäuser Boston eBooks

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

We introduce a new class of dynamic utilities that are generated forward in time. We discuss the associated value functions, optimal investments, and indifference prices and we compare them with their traditional counterparts, implied by backward dynamic utilities.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

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

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 73 citations exist upstream.

References

1999Consumption and Portfolio Decisions when Expected Returns are Time Varying 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1996Dynamic Nonmyopic Portfolio Behavior 1990Hedging of contingent claims under incomplete information 2006Portfolio Selection in Stochastic Environments 2000The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets 2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets 2000Pricing Via Utility Maximization and Entropy

Cited by

2011Dual Representation of Quasi-convex Conditional Maps 2009A dual characterization of self-generation and exponential forward performances 2008Optimal Asset Allocation under Forward Exponential Performance Criteria 2011CONDITIONAL CERTAINTY EQUIVALENT 2017Dynamic approaches for some time-inconsistent optimization problems 2016

Explore the map →

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

Imported from OpenAlex (CC0) — nothing here is generated.