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~subject:"Market-consistent progressive utility of investment and consumption"
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Market-consistent progressive utility of investment and consumption
portfolio optimization
5
Portfolio selection
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Portfolio-Management
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Ramsey rule
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Theorie
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Theory
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duality
3
horizon-unbiased utility
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performance criteria
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progressive utility
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Forward utility
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Nutzen
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Nutzentheorie
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Progressive utility with consumption
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Stochastic process
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Stochastischer Prozess
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Utility
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Utility theory
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Yield curve
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Zinsstruktur
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affine yields curves
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consistent utility
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market consistency
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optimal portfolio
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stochastic flows
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Aggregation
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Erwartungsnutzen
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Expected utility
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Forward/backward portfolio optimization
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Forward/backward stochastic partial differential equation (SPDE)
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Investition
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Investment
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Long term Yield curve
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Long-run rates
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Marginal indifference pricing
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Mathematical programming
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Mathematische Optimierung
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Private consumption
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El Karoui, Nicole
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Hillairet, Caroline
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Mrad, Mohamed
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Decisions in economics and finance : a journal of applied mathematics
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ECONIS (ZBW)
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Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, Nicole
;
Hillairet, Caroline
;
Mrad, Mohamed
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 375-414
Persistent link: https://www.econbiz.de/10013380575
Saved in:
2
Consistent utility of investment and consumption : a forward/backward SPDE viewpoint
El Karoui, Nicole
;
Hillairet, Caroline
;
Mrad, Mohamed
-
2017
Persistent link: https://www.econbiz.de/10012200208
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