Portfolio Choice with Endogenous Utility: A Large Deviations Approach

118 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.

Information and Entropy Econometrics - A Review and Synthesis (2008, background): “For discussion of typical sets and large deviations in econometrics see Kitamura and 3.7 Asymptotics 41 Stutzer (2002), (Stutzer, 2003a,c), Kitamura (2006) and Kitamura and Otsu (2005).”
Some Applications and Methods of Large Deviations in Finance and Insurance (2007, background): “Recently, and in a static framework, the paper [40] considered an asymptotic version of this outperformance criterion when time horizon goes to infinity, which leads to a large deviations portfolio criterion.”
Optimal Decentralized Investment Management (2008, unknown): “…with and without performance benchmark coincide when the benchmark portfolio equals the minimum 6In addition, Stutzer (2003a) and Foster and Stutzer (2003) show that when the optimal portfolio is chosen so that the probability of under-performance tends to zero as the investment horizon…”
PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007, background): “Bielecki, Pliska, and Sherris (2000), Stutzer (2003), and Pham (2003) included a stochastic benchmark index.”