INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES

DOI10.1142/S0219024901000948zbMath1154.91540OpenAlexW1966560553MaRDI QIDQ3523571

Fernando Zapatero, Jakša Cvitanić, Marie-Claire Quenez, Ali Lazrak

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024901000948

Mathematics Subject Classification ID

Economics of information (91B44)

Related Items (2)

Filtration consistent nonlinear expectations and evaluations of contingent claims ⋮ Recursive utility maximization for terminal wealth under partial information

Cites Work

• Adapted solution of a backward stochastic differential equation
• Continuous-time security pricing. A utility gradient approach
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information
• Optimal consumption and portfolio selection with stochastic differential utility
• Stochastic Differential Utility
• Backward Stochastic Differential Equations in Finance

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