Forward dynamic utility functions: A new model and new results
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DOI: 10.1016/j.ejor.2012.06.043
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Cited by:
- Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
- Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences," Papers 2106.13888, arXiv.org.
- Liu, Haibo & Tang, Qihe & Yuan, Zhongyi, 2021. "Indifference pricing of insurance-linked securities in a multi-period model," European Journal of Operational Research, Elsevier, vol. 289(2), pages 793-805.
- Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
- Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
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Keywords
Forward utility; Investment; Portfolio; Stochastic; Viscosity solutions; HJB PDE;All these keywords.
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