Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
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Publication:2967981
DOI10.1137/S0040585X97T988009zbMath1358.91090arXiv1307.0785OpenAlexW2963416679MaRDI QIDQ2967981
Publication date: 9 March 2017
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.0785
parametrizationmultidimensional semimartingalesHellinger processforward utilityminimal martingale Hellinger density
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
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