Forward dynamic utility functions: A new model and new results |
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Authors: | Moawia Alghalith |
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Institution: | Economics Dept., UWI, St. Augustine, United States |
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Abstract: | A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to establish the existence and uniqueness of the optimal solutions. Consequently, we present a new model of forward dynamic utilities. In doing so, we establish the existence and uniqueness of the solutions for a general (smooth) utility function, and we show that the assumptions needed for such solutions are similar to those under the backward formulation. Moreover, we provide unique viscosity solutions. We also provide discontinuous viscosity solutions. In addition, we introduce Hausdorff-continuous viscosity solutions to the portfolio model. |
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Keywords: | Forward utility Investment Portfolio Stochastic Viscosity solutions HJB PDE |
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