Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows

Abstract : The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined from a general class of processes denoted by $\GX$. Making minimal assumptions and convex constraints on test-processes, we construct by composing two stochastic flows of homeomorphisms, all the consistent stochastic utilities whose the optimal-benchmark process is given, strictly increasing in its initial condition. Proofs are essentially based on stochastic change of variables techniques.
Type de document :
Pré-publication, Document de travail
2010
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https://hal.archives-ouvertes.fr/hal-00477380
Contributeur : Mohamed Mrad <>
Soumis le : vendredi 5 avril 2013 - 17:36:36
Dernière modification le : lundi 29 mai 2017 - 14:27:00
Document(s) archivé(s) le : samedi 6 juillet 2013 - 08:50:07

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  • HAL Id : hal-00477380, version 2
  • ARXIV : 1004.5192

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N. El Karoui, Mohamed M'Rad. Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows. 2010. <hal-00477380v2>

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