Optimal Asset Allocation under Forward Exponential Performance Criteria

By Marek Musiela, Thaleia Zariphopoulou. 2008

48 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c1ed643d2ab70bca4a5aca6c104a1cb5c2f5fbba

How researchers see this paper

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

In Finance

1. Marek Musiela
2. Thaleia Zariphopoulou
3. Michael Tehranchi
4. Michael Monoyios
5. Vicky Henderson
6. Nizar Touzi
7. Holger Kraft
8. Huyen Pham

In Management Science and Operations Research

1. Marek Musiela
2. Thaleia Zariphopoulou

Citations in the corpus

• Portfolio choice under dynamic investment performance criteria (2009, methodology): “The exponential case was subsequently and extensively analysed for the multiasset model considered here by Musiela and Zariphopoulou (2008) (for the reader interested in the associated forward indifference prices, see Musiela and Zariphopoulou (2006a), Musiela et al. (2008) and Zariphopoulou and…”
• Stochastic Partial Differential Equations and Portfolio Choice (2010, background): “This criterion was …rst introduced in [34] (see also [35]) in the context of an incomplete binomial model and subsequently studied in [36], [37] and [38].”