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Optimal consumption for recursive preferences with local substitution under risk
Li, Hanwu; Riedel, Frank - 2024
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...
Persistent link: https://www.econbiz.de/10015066357
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Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
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Mixture of consistent stochastic utilities, and a priori randomness
Mrad, Mohamed - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012650235
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Dynamic utility and related nonlinear spdes driven by Lévy noise
Matoussi, Anis; Mrad, Mohamed - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10013189927
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Alternative utility functions : review, analysis and comparison
Harel, Arie; Francis, Jack Clark; Harpaz, Giora - In: Review of quantitative finance and accounting 51 (2018) 3, pp. 785-811
Persistent link: https://www.econbiz.de/10012038397
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The possibilities and consequences of investment decisions by stepwise optimization
Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087
Persistent link: https://www.econbiz.de/10014374968
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Almost stochastic dominance for most risk-averse decision makers
Luo, Chunling; Tan, Chin Hon - In: Decision analysis : a journal of the Institute for … 17 (2020) 2, pp. 169-184
Persistent link: https://www.econbiz.de/10012249957
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Self-flagellation and utility maximization
Jerome, Robert T.; Terkun, Kristina; Horn, Robert N.; … - In: Review of political economy 20 (2008) 3, pp. 307-318
Persistent link: https://www.econbiz.de/10003769284
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A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
Hernaández-Hernández, Daniel (contributor);  … - 2006
We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in … terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a … incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the …
Persistent link: https://www.econbiz.de/10003375787
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Relaxed utility maximization in complete markets
Biagini, Sara; Guasoni, Paolo - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 703-722
Persistent link: https://www.econbiz.de/10009311613