Black's Inverse Investment Problem and Forward Criteria with Consumption

DOI10.1137/17M1143812zbMath1444.91199OpenAlexW3022718368MaRDI QIDQ5112733

Sigrid Källblad

Publication date: 8 June 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1143812

zbMATH Keywords

optimal investment and consumptiondynamic consistencystochastic utility functionsBlack's investment problemforward criteriainfinite horizon Merton criteriainverse investment problemsprogressive utilities

Mathematics Subject Classification ID

Random fields (60G60) Utility theory (91B16) Integral representations of solutions to PDEs (35C15) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Inverse problems in optimal control (49N45) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93)

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Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players ⋮ 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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