Forward dynamic utilities: a new model and new results

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.

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Year of publication:	2010-03-02
Authors:	Moawia, Alghalith
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	forward dynamic utility \| investment \| portfolio \| uncertainty \| risk \| stochastic

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G10 - General Financial Markets. General ; D80 - Information and Uncertainty. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008633344