作者: Thaleia Zariphopoulou , Marek Musiela
DOI:
关键词: Measure (physics) 、 Portfolio allocation 、 Forward dynamic 、 Ito process 、 Economics 、 Market dynamics 、 Microeconomics
摘要: This paper proposes a new approach for portfolio allocation. The novel concept of forward dynamic utility is introduced. General classes such utilities are constructed by combining the local variational input with market dynamics represented multidimensional Ito process. Explicit closed form expressions optimal allocations obtained. They depend exclusively on wealth level and utility-generated measure risk.