Ramsey rule with forward/backward utility for long-term yield curves modeling

DOI10.1007/s10203-022-00370-1zbMath1492.91395OpenAlexW4280633332MaRDI QIDQ2145705

Caroline Hillairet, Mohamed Mrad, Nicole El Karoui

Publication date: 17 June 2022

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-022-00370-1

zbMATH Keywords

Ramsey ruleforward/backward portfolio optimizationlong-run ratesmarginal indifference pricingmarket-consistent progressive utility of investment and consumptionyields curves

Mathematics Subject Classification ID

Utility theory (91B16) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (4)

Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE ⋮ Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling ⋮ Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Martingale methods in financial modelling.
• Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
• Why the far-distant future should be discounted at its lowest possible rate
• Affine processes and applications in finance
• A benchmark approach to quantitative finance
• A Theory of the Term Structure of Interest Rates
• On the Realized Risk of High-Dimensional Markowitz Portfolios
• Financial Markets Equilibrium with Heterogeneous Agents*
• Interest Rate Modeling: Post-Crisis Challenges and Approaches
• CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
• Portfolio choice under dynamic investment performance criteria
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
• Bond, futures and option evaluation in the quadratic interest rate model
• On an Identity for Stochastic Integrals
• Tauberian Theory
• Changes of numéraire, changes of probability measure and option pricing
• Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
• A few comments on a result of A. Novikov and Girsanov's theorem
• Arbitrage Theory in Continuous Time
• Envelope Theorems for Arbitrary Choice Sets

This page was built for publication: Ramsey rule with forward/backward utility for long-term yield curves modeling