Mixture of consistent stochastic utilities, and a priori randomness * †

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Mohamed, Mrad; El Karoui, N.;
  • Publisher: HAL CCSD
  • Subject: [QFIN.GN]Quantitative Finance [q-fin]/General Finance [q-fin.GN] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ QFIN.GN ] Quantitative Finance [q-fin]/General Finance [q-fin.GN] | [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]

The purpose of this paper is to develop an explicit construction of consistent utilities, using the stochastic flows approach developed in [KM13] and [KM16]. Starting from a family of utility functions indexed by some parameter α (for example the risk aversion of differ... View more
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