publication . Preprint . 2018

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

Mohamed, Mrad; El Karoui, Nicole;
Open Access English
  • Published: 11 Mar 2018
  • Publisher: HAL CCSD
Abstract
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 different agents), the idea is to randomize α and construct a non standard stochastic utilities processes. Two approach are developed, the first one consists to built directly from the class {U α , α ∈ R} a global one U as a sup-convolution. The second approach which is very different, consists to define from a class (X α , Y α) α∈R of monotonic processes a global pair (X * , Y *) as a mixture. The non ...
Subjects
free text keywords: [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]

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[Wid63] [Wid75] D. V. Widder. The role of the Appell transformation in the theory of heat conduction. Trans. Amer. Math. Soc., 109:121{134, 1963. [OpenAIRE]

D. V. Widder. The heat equation. Academic Press [Harcourt Brace Jovanovich Publishers], New York, 1975. Pure and Applied Mathematics, Vol. 67.

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publication . Preprint . 2018

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

Mohamed, Mrad; El Karoui, Nicole;