Mixture of consistent stochastic utilities, and a priori randomness * †
Mohamed , Mrad
El Karoui , N.
- Publisher: HAL CCSD
[ 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]
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...