5 citations · 7 across the 8 of their papers we have counts for
3 papers · 1 filter
Equilibrium investment under dynamic preference uncertainty
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process…
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This constructio…
Reserve-Dependent Surrender
Kamille Sofie Tågholt Gad, Jeppe Juhl, Mogens Steffensen
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrar…