Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
Year of publication: |
2010-04-01
|
---|---|
Authors: | Karoui, N. El ; M'Rad, Mohamed |
Institutions: | HAL |
Subject: | Consistent utilities | progressive utilities | forward utility | performance criteria | horizon-unbiased utility | consistent utility | progressive utility | portfolio optimization | optimal portfolio | duality | minimal martingal measure | Stochastic flows of homeomorphisms |
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