Citation:
T. Choulli, J. Ma, “Explicit description of HARA forward utilities and their optimal portfolios”, Teor. Veroyatnost. i Primenen., 61:1 (2016), 69–113; Theory Probab. Appl., 61:1 (2017), 57–93
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\paper Explicit description of HARA forward utilities and their optimal portfolios
\jour Teor. Veroyatnost. i Primenen.
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\vol 61
\issue 1
\pages 69--113
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\jour Theory Probab. Appl.
\yr 2017
\vol 61
\issue 1
\pages 57--93
\crossref{https://doi.org/10.1137/S0040585X97T988009}
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https://www.mathnet.ru/eng/tvp5044
https://doi.org/10.4213/tvp5044
https://www.mathnet.ru/eng/tvp/v61/i1/p69
This publication is cited in the following 9 articles:
Lijun Bo, Agostino Capponi, Chao Zhou, “Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors”, Mathematics of OR, 48:1 (2023), 288
Tahir Choulli, Sina Yansori, “Log-optimal and numéraire portfolios for market models stopped at a random time”, Finance Stoch, 26:3 (2022), 535
Levon Avanesyan, Ronnie Sircar, “Power Mixture Forward Performance Processes”, SIAM J. Finan. Math., 13:3 (2022), 1040
Strub M.S., Zhou X.Yu., “Evolution of the Arrow-Pratt Measure of Risk-Tolerance For Predictable Forward Utility Processes”, Financ. Stoch., 25:2 (2021), 331–358
He X.D., Strub M.S., Zariphopoulou T., “Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion”, Math. Financ., 31:2 (2021), 683–721
W. F. Chong, “Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences”, Insur. Math. Econ., 88 (2019), 93–107
Xue Dong He, Moris Strub, Thaleia Zariphopoulou, “Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion”, SSRN Journal, 2019
Moris Strub, Xunyu Zhou, “Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes”, SSRN Journal, 2018
Alexander Harin, “Forbidden Zones and Biases for the Expectation: New Mathematical Results for Behavioral and Social Sciences”, SSRN Journal, 2018
Citation in format AMSBIB
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