Horizon-unbiased utility functions
By Vicky Henderson, David Hobson *. 2007
72 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6af86b28a23a08433de6eabcdd79d7c2d02e4dd9
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Vicky Henderson
- Marek Musiela
- Thaleia Zariphopoulou
- Gordan vZitkovi'c
- Michael Monoyios
- Michael Tehranchi
- David Hobson *
- Mark H. A. Davis
In Finance
- Marek Musiela
- Thaleia Zariphopoulou
- Vicky Henderson
- Gordan vZitkovi'c
- Michael Monoyios
- David Hobson *
- Michael Tehranchi
- Mark H. A. Davis
Citations in the corpus
- Portfolio choice under dynamic investment performance criteria (2009, background): “Horizon issues were also considered in [8] for the special case of lognormal dynamics.”
- A dual characterization of self-generation and exponential forward performances (2008, background): “The notion of forward performance or forward utility has appeared in the literature recently, and in various forms, in the work of Choulli, Henderson, Hobson, Li, Musiela, Stricker and Zariphopoulou (see [5, 17, 26, 27, 28, 29, 30]).”
- Valuing the option to invest in an incomplete market (2007, background): “The author thanks George Constantinides, Graham Davis, Jerome Detemple, Avinash Dixit, David Hobson, Stewart Hodges, Bart Lambrecht, Andrew Lyasoff, Robert McDonald, Pierre Mella-Barral, Jianjun Miao, Bob Nau (ES discussant), Gordon Sick, James Smith, Stathis Tompaidis, Elizabeth Whalley and Zvi Wie”