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Approximating the Pareto optimal set using a reduced set of objective functions

Lindroth, Peter; Patriksson, Michael; Strömberg, Ann-Brith - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1519-1534

Persistent link: https://www.econbiz.de/10008702146

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

Robust decision making using a general utility set

Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714

Persistent link: https://www.econbiz.de/10011864436

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

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

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

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

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

Recursive utility using the stochastic maximum principle

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

rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to … Markovian, which can be the case with recursive utility. With existence granted, the wealth portfolio is characterized in … equilibrium in terms of utility and aggregate consumption. The equilibrium real interest rate is derived, and the resulting model …

Persistent link: https://www.econbiz.de/10011800871

H ∞ constraint Pareto optimal strategy for stochastic LPV systems

Ahmed, Mostak; Mukaidani, Hiroaki; Shima, Tadashi - In: International game theory review 20 (2018) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011879471