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Life insurance decisions under recursive utility

Reitzel Jensen, Ninna - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 204-227

Persistent link: https://www.econbiz.de/10012194947

Heterogeneity in optimal investment and drawdown strategies in retirement

Butt, Adam; Khemka, Gaurav; Warren, Geoff - In: Pacific-Basin finance journal 74 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013389436

Consumption optimization for recursive utility in a jump-diffusion model

Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310

Persistent link: https://www.econbiz.de/10011642633

Multiple utility constrained multi-objective programs using Bayesian theory

Abbasian, Pooneh; Mahdavi-Amiri, Nezam; Fazlollahtabar, … - In: Journal of industrial engineering international 14 (2018) 1, pp. 111-118

A utility function is an important tool for representing a DM’s preference. We adjoin utility functions to multi …-objective optimization problems. In current studies, usually one utility function is used for each objective function. Situations may arise … for a goal to have multiple utility functions. Here, we consider a constrained multi-objective problem with each objective …

Persistent link: https://www.econbiz.de/10011840734

Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

Junca, Mauricio; Serrano, Rafael - In: Mathematics and financial economics 15 (2021) 4, pp. 775-809

Persistent link: https://www.econbiz.de/10012616858

Portfolio optimization under nonlinear utility

Heyne, Gregor; Kupper, Michael; Tangpi, Ludovic - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37

Persistent link: https://www.econbiz.de/10011524910

Consumption-portfolio optimization with recursive utility in incomplete markets

Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196

Persistent link: https://www.econbiz.de/10009682287

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Kraft, Holger - 2011

In an incomplete market we study the optimal consumption-portfolio decision of an investor with recursive preferences of Epstein-Zin type. Applying a classical dynamic programming approach, we formulate the associated Hamilton-Jacobi-Bellman equation and provide a suitable verification theorem....

Persistent link: https://www.econbiz.de/10013133474

Ambiguity in risk preferences in robust stochastic optimization

Haskell, William B.; Fu, Lunce; Dessouky, Maged - In: European journal of operational research : EJOR 254 (2016) 1, pp. 214-225

Persistent link: https://www.econbiz.de/10011503281

Recursive utility using the stochastic maximum principle

Aase, Knut K. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 859-887

Persistent link: https://www.econbiz.de/10011793548