Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Moris S. Strub, Xun Yu Zhou
| Year of publication: |
2021
|
|---|---|
| Authors: | Strub, Moris S. ; Zhou, Xun Yu |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 2, p. 331-358
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| Subject: | Risk-aversion | Portfolio selection | Semimartingale model | Forward utility processes | Dynamic preferences | Complete financial market | Binomial model | SAHARA utility | Theorie | Theory | Portfolio-Management | Risikoaversion | Risk aversion | Erwartungsnutzen | Expected utility | Nutzen | Utility | Finanzmarkt | Financial market | Stochastischer Prozess | Stochastic process | Martingal | Martingale |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-020-00444-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012499731