Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
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Publication:2022765
DOI10.1007/s00780-020-00444-1zbMath1461.91307OpenAlexW3123275150MaRDI QIDQ2022765
Publication date: 29 April 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-020-00444-1
risk-aversionportfolio selectionbinomial modelSAHARA utilitysemimartingale modelcomplete financial marketdynamic preferencesforward utility processes
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Competition in Fund Management and Forward Relative Performance Criteria ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Predictable forward performance processes in complete markets ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
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