Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model

83 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Optimal Asset Allocation under Forward Exponential Performance Criteria (2008, methodology): “This has been done by the authors for incomplete binomial models and for diusion models with stochastic volatility (see, respectively, [4] and [8], and [ 6 ]).”
A dual characterization of self-generation and exponential forward performances (2008, background): “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]). It refers to a family of interrelated state-dependent utility function”