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1Academic Journal
المؤلفون: El Karoui, Nicole, Mrad, Mohamed, Hillairet, Caroline
المساهمون: Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Université Paris Diderot - Paris 7 (UPD7)-Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Analyse, Géométrie et Applications (LAGA), Université Paris 8 Vincennes-Saint-Denis (UP8)-Université Paris 13 (UP13)-Institut Galilée-Centre National de la Recherche Scientifique (CNRS), École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)
المصدر: ISSN: 1593-8883.
مصطلحات موضوعية: SDEs, stochastic utility with consumtion, Long term Yield curve, consistent stochastic utilities, forward utilities, Forward/backward portfolio optimization, Market-consistent progressive utility of investment and consumption, Marginal indifference pricing, Yields curves, Ramsey rule, stochastic flows, Utility SPDE, Long run rates, Forward/backward portfolio optimization JEL 2018: C54, C61, D52, E43, G12, 60H15, 91B18, 91B70, 91G10, 91G30, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C54 - Quantitative Policy Modeling, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D52 - Incomplete Markets, JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/1404.1895; hal-00974815; https://hal.science/hal-00974815; https://hal.science/hal-00974815v3/document; https://hal.science/hal-00974815v3/file/RamseySubmitDEFNov20.pdf; ARXIV: 1404.1895
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2Academic Journal
المؤلفون: Mrad, Mohamed, Karoui, El, Hillairet, Caroline
المساهمون: Laboratoire Analyse, Géométrie et Applications (LAGA), Université Paris 8 Vincennes-Saint-Denis (UP8)-Université Paris 13 (UP13)-Institut Galilée-Centre National de la Recherche Scientifique (CNRS), Laboratoire de Probabilités, Statistique et Modélisation (LPSM (UMR_8001)), Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS)-Université Paris Cité (UPCité), Centre de Recherche en Économie et STatistique (CREST)
المصدر: ISSN: 1593-8883.
مصطلحات موضوعية: Market-consistent progressive utility of investment and consumption, Marginal indifference pricing, Yields curves, Ramsey rule, stochastic flows, Utility SPDE, Long run rates, Forward/backward portfolio optimization JEL 2018: C54, C61, D52, E43, G12, SDEs, stochastic utility with consumtion, Long term Yield curve, consistent stochastic utilities, forward utilities, Forward/backward portfolio optimization, 60H15, 91B18, 91B70, 91G10, 91G30, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C54 - Quantitative Policy Modeling, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D52 - Incomplete Markets, JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/1404.1895; hal-04553875; https://hal.science/hal-04553875; ARXIV: 1404.1895
الاتاحة: https://hal.science/hal-04553875
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3Report
المؤلفون: El Karoui, Nicole, Hillairet, Caroline, Mrad, Mohamed, Karoui, El, Caroline, Hillairet, Mohamed, Mrad
المساهمون: Laboratoire de Probabilités, Statistiques et Modélisations (LPSM (UMR_8001)), Université Paris Diderot - Paris 7 (UPD7)-Sorbonne Université (SU)-Centre National de la Recherche Scientifique (CNRS), Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), Laboratoire Analyse, Géométrie et Applications (LAGA), Université Paris 8 Vincennes-Saint-Denis (UP8)-Centre National de la Recherche Scientifique (CNRS)-Institut Galilée-Université Paris 13 (UP13)
المصدر: https://hal.archives-ouvertes.fr/hal-00974815 ; 2014.
مصطلحات موضوعية: SDEs, stochastic utility with consumtion, Long term Yield curve, consistent stochastic utilities, forward utilities, Forward/backward portfolio optimization, Market-consistent progressive utility of investment and consumption, Marginal indifference pricing, Yields curves, Ramsey rule, stochastic flows, Utility SPDE, Long run rates, Forward/backward portfolio optimization JEL 2018: C54, C61, D52, E43, G12, 60H15, 91B18, 91B70, 91G10, 91G30, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C54 - Quantitative Policy Modeling, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis, JEL: D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D52 - Incomplete Markets, JEL: E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
Relation: info:eu-repo/semantics/altIdentifier/arxiv/1404.1895; hal-00974815; https://hal.archives-ouvertes.fr/hal-00974815; https://hal.archives-ouvertes.fr/hal-00974815v3/document; https://hal.archives-ouvertes.fr/hal-00974815v3/file/RamseySubmitDEFNov20.pdf; ARXIV: 1404.1895