17 citations · 25 across the 6 of their papers we have counts for
3 papers · 1 filter
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui, Mohamed Mrad, Caroline Hillairet
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and…
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
N. El Karoui, Mohamed M'Rad
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…