Geodesic
Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
Teoriâ veroâtnostej i ee primeneniâ, Tome 60 (2015) no. 4, pp. 628-659 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{TVP_2015_60_4_a1,
     author = {B. Berdjane and S. M. Pergamenshchikov},
     title = {Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {628--659},
     year = {2015},
     volume = {60},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a1/}
}
TY  - JOUR
AU  - B. Berdjane
AU  - S. M. Pergamenshchikov
TI  - Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2015
SP  - 628
EP  - 659
VL  - 60
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a1/
LA  - ru
ID  - TVP_2015_60_4_a1
ER  - 
%0 Journal Article
%A B. Berdjane
%A S. M. Pergamenshchikov
%T Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2015
%P 628-659
%V 60
%N 4
%U http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a1/
%G ru
%F TVP_2015_60_4_a1
B. Berdjane; S. M. Pergamenshchikov. Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters. Teoriâ veroâtnostej i ee primeneniâ, Tome 60 (2015) no. 4, pp. 628-659. http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a1/

[1] Barlow M., Émery M., Knight F., Song S., Yor M., “Autour d'un théorème de Tsirelson sur des filtrations browniennes et non browniennes”, Lecture Notes in Math., 1686, 1998, 264–305 | DOI | MR | Zbl

[2] Bernoulli D., “Exposition of a new theory on the measurement of risk”, Econometrica, 22 (1954), 23–36 | DOI | MR | Zbl

[3] Berkelaar A. B., Kouwenberg R., Post T., “Optimal portfolio choice under loss aversion”, Rev. Econ. Stat., 86:4 (2004), 973–987 | DOI

[4] Black F., “Studies of stock market volatility changes”, Proc. Amer. Statist. Assoc., Business and Economic Statistics Section, 1976, 177–181

[5] Campi L., Del Vigna M., “Weak insider trading and behavioral finance”, SIAM J. Financial Math., 3 (2012), 242–279 | DOI | MR | Zbl

[6] Carassus L., Rásonyi M., “On optimal investment for a behavioral investor in multiperiod incomplete market models”, Math. Finance, 25:1 (2015), 115–153 | DOI | MR | Zbl

[7] Carlier G., Dana R.-A., “Optimal demand for contingent claims when agents have law invariant utilities”, Math. Finance, 21:2 (2011), 169–201 | MR | Zbl

[8] Cherny A., Madan D., “New measures for performance evaluation”, Rev. Financ. Stud., 22:7 (2009), 2571–2606 | DOI

[9] Fouque J.-P., Papanicolaou G., Sircar R., Derivatives in Financial Markets with Stochastic Volatility, Cambridge Univ.Press, Cambridge, 2000, 201 pp. | MR | Zbl

[10] Jin H., Zhou X. Y., “Behavioural portfolio selection in continuous time”, Math. Finance, 18:3 (2008), 385–426 | DOI | MR | Zbl

[11] Kahneman D., Tversky A., “Prospect theory: an analysis of decision under risk”, Econometrica, 47 (1979), 263–291 | DOI | Zbl

[12] Krylov N. V., “A supermartingale characterization of sets of stochastic integrals and applications”, Probab. Theory Related Fields, 123:4 (2002), 521–552 | DOI | MR | Zbl

[13] Krylov N. V., Liptser R., “On diffusion approximation with discontinuous coefficients”, Stochastic Process. Appl., 102:2 (2002), 235–264 | DOI | MR | Zbl

[14] Quiggin J., “A theory of anticipated utility”, J. Economic and Behavioral Organization, 3 (1982), 323–343 | DOI

[15] Rásonyi M., Rodrigues A. M., “Optimal portfolio choice for a behavioural investor in continuous-time markets”, Ann. Finance, 9:2 (2013), 291–318 | DOI | MR

[16] Reichlin C., “Utility maximization with a given pricing measure when the utility is not necessarily concave”, Math. Financ. Econ., 7:4 (2013), 531–556 | DOI | MR | Zbl

[17] Reichlin C., Non-concave utility maximization: optimal investment, stability and applications, Ph.D. Thesis, Diss. ETH No20749, ETH Zürich, 2012

[18] Tversky A., Kahneman D., “Advances in prospect theory: Cumulative representation of uncertainty”, J. Risk Uncertainty, 5:4 (1992), 297–323 | DOI | Zbl

[19] fon Neiman D., Teoriya igr i ekonomicheskoe povedenie, Nauka, M., 1970, 707 pp. | MR