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

N. El Karoui and Mohamed M'Rad
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N. El Karoui: CMAP, LPMA
Mohamed M'Rad: CMAP, LAGA

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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.

Date: 2010-04, Revised 2013-04
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Citations: View citations in EconPapers (3)

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