IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2501.01748.html
   My bibliography  Save this paper

On consistency of optimal portfolio choice for state-dependent exponential utilities

Author

Listed:
  • Edoardo Berton
  • Marzia De Donno
  • Marco Maggis

Abstract

In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time horizon. Our solution aligns with the theory of forward performances, with the added distinction of identifying, among the infinite possible solutions, the one for which the profile remains optimal at all times for the market-adjusted system of preferences adopted.

Suggested Citation

  • Edoardo Berton & Marzia De Donno & Marco Maggis, 2025. "On consistency of optimal portfolio choice for state-dependent exponential utilities," Papers 2501.01748, arXiv.org.
    • Handle: RePEc:arx:papers:2501.01748
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2501.01748
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2501.01748. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.