Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

DOI10.1007/978-3-030-22285-7_6zbMath1498.60255OpenAlexW2789766613MaRDI QIDQ5038295

Mohamed Mrad, Nicole El Karoui, Caroline Hillairet

Publication date: 30 September 2022

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-22285-7_6

zbMATH Keywords

yield curveheterogeneous preferencesutility aggregationmarket-consistent progressive utility

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

Ramsey rule with forward/backward utility for long-term yield curves modeling ⋮ DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE ⋮ Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ Power Mixture Forward Performance Processes ⋮ Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium

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