On consistency of optimal portfolio choice for state-dependent exponential utilities
Fuente:
arXiv
Guardado en:
| Autores principales: | Berton, Edoardo, De Donno, Marzia, Maggis, Marco |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
On conditioning and consistency for nonlinear functionals
por: Berton, Edoardo, et al.
Publicado: (2024)
por: Berton, Edoardo, et al.
Publicado: (2024)
Collective completeness and pricing hedging duality
por: Doldi, Alessandro, et al.
Publicado: (2025)
por: Doldi, Alessandro, et al.
Publicado: (2025)
When cooperation is beneficial to all agents
por: Doldi, Alessandro, et al.
Publicado: (2026)
por: Doldi, Alessandro, et al.
Publicado: (2026)
Model-free portfolio allocation in continuous-time
por: Chiu, Henry
Publicado: (2024)
por: Chiu, Henry
Publicado: (2024)
Short-rate models with stochastic discontinuities: a PDE approach
por: Calvia, Alessandro, et al.
Publicado: (2025)
por: Calvia, Alessandro, et al.
Publicado: (2025)
Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
por: Itkin, Andrey
Publicado: (2023)
por: Itkin, Andrey
Publicado: (2023)
A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization
por: Bae, Hyunglip, et al.
Publicado: (2025)
por: Bae, Hyunglip, et al.
Publicado: (2025)
Competitive optimal portfolio selection under mean-variance criterion
por: Shao, Guojiang, et al.
Publicado: (2025)
por: Shao, Guojiang, et al.
Publicado: (2025)
Relative portfolio optimization via a value at risk based constraint
por: Bäuerle, Nicole, et al.
Publicado: (2025)
por: Bäuerle, Nicole, et al.
Publicado: (2025)
The mean-variance portfolio selection based on the average and current profitability of the risky asset
por: Li, Yu, et al.
Publicado: (2024)
por: Li, Yu, et al.
Publicado: (2024)
Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk
por: Gupte, Sumedh, et al.
Publicado: (2025)
por: Gupte, Sumedh, et al.
Publicado: (2025)
A discussion of stochastic dominance and mean-risk optimal portfolio problems based on mean-variance-mixture models
por: Sayit, Hasanjan
Publicado: (2022)
por: Sayit, Hasanjan
Publicado: (2022)
Pareto frontier of portfolio investment under volatility uncertainty and short-sale constraints market
por: He, Jing, et al.
Publicado: (2026)
por: He, Jing, et al.
Publicado: (2026)
Delegated portfolio management with random default
por: Gennaro, Alberto, et al.
Publicado: (2024)
por: Gennaro, Alberto, et al.
Publicado: (2024)
Local risk-minimization for exponential additive processes
por: Arai, Takuji
Publicado: (2026)
por: Arai, Takuji
Publicado: (2026)
Mean-field game of mean-variance portfolio management with peer-based relative risk aversion
por: Cheng, Weilun, et al.
Publicado: (2026)
por: Cheng, Weilun, et al.
Publicado: (2026)
Reference-dependent asset pricing with a stochastic consumption-dividend ratio
por: Aquino, Luca De Gennaro, et al.
Publicado: (2024)
por: Aquino, Luca De Gennaro, et al.
Publicado: (2024)
Shape of term structures compatible with flexible choice of diffusion
por: Celary, Andreas, et al.
Publicado: (2025)
por: Celary, Andreas, et al.
Publicado: (2025)
An optimal transport foundation for a class of dynamically consistent risk measures
por: Fuhrmann, Sven, et al.
Publicado: (2026)
por: Fuhrmann, Sven, et al.
Publicado: (2026)
A deep learning-driven iterative scheme for high-dimensional HJB equations in portfolio selection with exogenous and endogenous costs
por: Yan, Dong, et al.
Publicado: (2025)
por: Yan, Dong, et al.
Publicado: (2025)
Pathwise analysis of log-optimal portfolios
por: Allan, Andrew L., et al.
Publicado: (2025)
por: Allan, Andrew L., et al.
Publicado: (2025)
Universal portfolios in continuous time: an approach in pathwise Itô calculus
por: Han, Xiyue, et al.
Publicado: (2025)
por: Han, Xiyue, et al.
Publicado: (2025)
$ρ$-arbitrage and $ρ$-consistent pricing for star-shaped risk measures
por: Herdegen, Martin, et al.
Publicado: (2022)
por: Herdegen, Martin, et al.
Publicado: (2022)
Optimal investment and consumption under logarithmic utility and uncertainty model
por: Faidi, Wahid
Publicado: (2022)
por: Faidi, Wahid
Publicado: (2022)
Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
por: Carassus, Laurence, et al.
Publicado: (2023)
por: Carassus, Laurence, et al.
Publicado: (2023)
Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
por: Łabędzki, Mikołaj
Publicado: (2025)
por: Łabędzki, Mikołaj
Publicado: (2025)
Long-run survival in limited stock market participation models with power utilities
por: Kwon, Heeyoung, et al.
Publicado: (2025)
por: Kwon, Heeyoung, et al.
Publicado: (2025)
Robust utility maximisation under proportional transaction costs for càdlàg price processes
por: Czichowsky, Christoph, et al.
Publicado: (2022)
por: Czichowsky, Christoph, et al.
Publicado: (2022)
Multidimensional specific relative entropy between continuous martingales
por: Backhoff, Julio, et al.
Publicado: (2024)
por: Backhoff, Julio, et al.
Publicado: (2024)
A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio
por: Hillairet, Caroline, et al.
Publicado: (2026)
por: Hillairet, Caroline, et al.
Publicado: (2026)
Optimal investment and consumption under $g$- expected utility and general constraints in incomplete market
por: Faidi, Wahid
Publicado: (2025)
por: Faidi, Wahid
Publicado: (2025)
A discretization scheme for path-dependent FBSDEs and PDEs
por: Jang, Jiuk, et al.
Publicado: (2023)
por: Jang, Jiuk, et al.
Publicado: (2023)
Risk, utility and sensitivity to large losses
por: Herdegen, Martin, et al.
Publicado: (2024)
por: Herdegen, Martin, et al.
Publicado: (2024)
Convex ordering for stochastic control: the (path dependent) swing contracts case
por: Pagès, Gilles, et al.
Publicado: (2024)
por: Pagès, Gilles, et al.
Publicado: (2024)
Volatility models in practice: Rough, Path-dependent or Markovian?
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)
Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals
por: James, Nick, et al.
Publicado: (2024)
por: James, Nick, et al.
Publicado: (2024)
Reconciling rough volatility with jumps
por: Jaber, Eduardo Abi, et al.
Publicado: (2023)
por: Jaber, Eduardo Abi, et al.
Publicado: (2023)
Optimal Bubble Riding with Price-dependent Entry: a Mean Field Game of Controls with Common Noise
por: Tangpi, Ludovic, et al.
Publicado: (2023)
por: Tangpi, Ludovic, et al.
Publicado: (2023)
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
por: Garces, Len Patrick Dominic M., et al.
Publicado: (2024)
por: Garces, Len Patrick Dominic M., et al.
Publicado: (2024)
Existence of an equilibrium with limited stock market participation and power utilities
por: Guasoni, Paolo, et al.
Publicado: (2024)
por: Guasoni, Paolo, et al.
Publicado: (2024)
Ejemplares similares
-
On conditioning and consistency for nonlinear functionals
por: Berton, Edoardo, et al.
Publicado: (2024) -
Collective completeness and pricing hedging duality
por: Doldi, Alessandro, et al.
Publicado: (2025) -
When cooperation is beneficial to all agents
por: Doldi, Alessandro, et al.
Publicado: (2026) -
Model-free portfolio allocation in continuous-time
por: Chiu, Henry
Publicado: (2024) -
Short-rate models with stochastic discontinuities: a PDE approach
por: Calvia, Alessandro, et al.
Publicado: (2025)