Equilibrium Portfolio Selection Under Beliefs-Dependent Utilities

References

• [1] Balter AG, Mahayni A, Schweizer N (2021) Time-consistency of optimal investment under smooth ambiguity. Eur. J. Oper. Res. 293(2):643–657.Crossref, Google Scholar
• [2] Bernard C, Vanduffel S, Ye J (2018) Optimal portfolio under state-dependent expected utility. Internat. J. Theoret. Appl. Finance 21(3):1850013.Crossref, Google Scholar
• [3] Berrada T, Detemple J, Rindisbacher M (2018) Asset pricing with beliefs-dependent risk aversion and learning. J. Financial Econom. 128(3):504–534.Crossref, Google Scholar
• [4] Bismuth A, Guéant O, Pu J (2019) Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Math. Financial Econom. 13(4):661–719.Crossref, Google Scholar
• [5] Björk T, Murgoci A (2014) A theory of Markovian time-inconsistent stochastic control in discrete time. Finance Stochastics 18(3):545–592.Crossref, Google Scholar
• [6] Björk T, Khapko M, Murgoci A (2017) On time-inconsistent stochastic control in continuous time. Finance Stochastics 21(2):331–360.Crossref, Google Scholar
• [7] Björk T, Murgoci A, Zhou XY (2014) Mean–variance portfolio optimization with state-dependent risk aversion. Math. Finance 24(1):1–24.Crossref, Google Scholar
• [8] Brandt MW (2010) Portfolio choice problems. Handbook of Financial Econometrics: Tools and Techniques (Elsevier, Amsterdam, Netherlands), 269–336.Crossref, Google Scholar
• [9] Chabi-Yo F, Garcia R, Renault E (2008) State dependence can explain the risk aversion puzzle. Rev. Financial Stud. 21(2):973–1011.Crossref, Google Scholar
• [10] Davis MHA, Norman AR (1990) Portfolio selection with transaction costs. Math. Oper. Res. 15(4):676–713.Link, Google Scholar
• [11] Desmettre S, Steffensen M (2023) Equilibrium investment with random risk aversion. Math. Finance 33(3):946–975.Crossref, Google Scholar
• [12] Desmettre S, Korn R, Ruckdeschel P, Seifried FT (2015) Robust worst-case optimal investment. OR Spectrum 37(3):677–701.Crossref, Google Scholar
• [13] Ekeland I, Lazrak A (2006) Being serious about non-commitment: Subgame perfect equilibrium in continuous time. Preprint, submitted April 12, https://arxiv.org/abs/math/0604264.Google Scholar
• [14] Ekeland I, Pirvu TA (2008) Investment and consumption without commitment. Math. Financial Econom. 2(1):57–86.Crossref, Google Scholar
• [15] Ekeland I, Mbodji O, Pirvu TA (2012) Time-consistent portfolio management. SIAM J. Financial Math. 3(1):1–32.Crossref, Google Scholar
• [16] Fama EF, French KR (1989) Business conditions and expected returns on stocks and bonds. J. Financial Econom. 25(1):23–49.Crossref, Google Scholar
• [17] French KR, Schwert GW, Stambaugh RF (1987) Expected stock returns and volatility. J. Financial Econom. 19(1):3–29.Crossref, Google Scholar
• [18] Gassiat P, Gozzi F, Pham H (2014) Investment/consumption problem in illiquid markets with regime-switching. SIAM J. Control Optim. 52(3):1761–1786.Crossref, Google Scholar
• [19] Gordon S, St-Amour P (2000) A preference regime model of bull and bear markets. Amer. Econom. Rev. 90(4):1019–1033.Crossref, Google Scholar
• [20] Guan G, Liang Z, Xia J (2024) Equilibrium portfolio selection for smooth ambiguity preferences. Math. Oper. Res. 50(2):1042–1071.Google Scholar
• [21] Guiso L, Sapienza P, Zingales L (2018) Time varying risk aversion. J. Financial Econom. 128(3):403–421.Crossref, Google Scholar
• [22] Hamilton JD (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57(2):357–384.Crossref, Google Scholar
• [23] Karatzas I, Shreve S (2014) Brownian Motion and Stochastic Calculus, vol. 113 (Springer Science & Business Media, New York).Google Scholar
• [24] Karni E (1983) On the correspondence between multivariate risk aversion and risk aversion with state-dependent preferences. J. Econom. Theory 30(2):230–242.Crossref, Google Scholar
• [25] Karni E (1983) Risk aversion for state-dependent utility functions: Measurement and applications. Internat. Econom. Rev. 24(3):637–647.Crossref, Google Scholar
• [26] Kramkov D, Schachermayer W (1999) The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9(3):904–950.Crossref, Google Scholar
• [27] Kwak M, Pirvu TA, Zhang H (2014) A multiperiod equilibrium pricing model. J. Appl. Math. 2014(1):1–14.Crossref, Google Scholar
• [28] Li H, Wu C, Zhou C (2022) Time-varying risk aversion and dynamic portfolio allocation. Oper. Res. 70(1):23–37.Link, Google Scholar
• [29] Li X, Zhou XY, Lim AEB (2002) Dynamic mean-variance portfolio selection with no-shorting constraints. SIAM J. Control Optim. 40(5):1540–1555.Crossref, Google Scholar
• [30] Liu H (2011) Dynamic portfolio choice under ambiguity and regime switching mean returns. J. Econom. Dynam. Control 35(4):623–640.Crossref, Google Scholar
• [31] Liu R (2014) Optimal investment and consumption with proportional transaction costs in regime-switching model. J. Optim. Theory Appl. 163(2):614–641.Crossref, Google Scholar
• [32] Londono JA (2009) State-dependent utility. J. Appl. Probab. 46(1):55–70.Crossref, Google Scholar
• [33] Mbodji O, Pirvu TA (2025) Time consistency and utility weighted discount rates. Math. Financial Econom. 19(2):261–291.Crossref, Google Scholar
• [34] Merton RC (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 51(3):247–257.Crossref, Google Scholar
• [35] O’Regan D (1997) Existence Theory for Nonlinear Ordinary Differential Equations, vol. 398 (Springer Science & Business Media, Dordrecht, Netherlands).Crossref, Google Scholar
• [36] Pirvu TA, Zhang H (2013) Utility indifference pricing: A time consistent approach. Appl. Math. Finance 20(4):304–326.Crossref, Google Scholar
• [37] Pirvu TA, Zhang H (2014) Investment–consumption with regime-switching discount rates. Math. Soc. Sci. 71(1):142–150.Crossref, Google Scholar
• [38] Rieder U, Bäuerle N (2005) Portfolio optimization with unobservable Markov-modulated drift process. J. Appl. Probab. 42(2):362–378.Crossref, Google Scholar
• [39] Samuelson P (1969) Lifetime portfolio selection by dynamic stochastic programming. Rev. Econom. Statist. 51(3):239–246.Crossref, Google Scholar
• [40] Sass J, Haussmann UG (2004) Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. Finance Stochastics 8(4):553–577.Crossref, Google Scholar
• [41] Schied A (2005) Optimal investments for robust utility functionals in complete market models. Math. Oper. Res. 30(3):750–764.Link, Google Scholar
• [42] Schied A (2007) Optimal investments for risk-and ambiguity-averse preferences: A duality approach. Finance Stochastics 11(1):107–129.Crossref, Google Scholar
• [43] Schied A, Föllmer H, Weber S (2009) Robust preferences and robust portfolio choice. Handbook of Numerical Analysis, vol. 15 (Elsevier, Amsterdam, Netherlands), 29–87.Crossref, Google Scholar
• [44] Schwert GW (1989) Why does stock market volatility change over time? J. Finance 44(5):1115–1153.Crossref, Google Scholar
• [45] Sotomayor LR, Cadenillas A (2009) Explicit solutions of consumption-investment problems in financial markets with regime switching. Math. Finance 19(2):251–279.Crossref, Google Scholar
• [46] Strotz RH (1955) Myopia and inconsistency in dynamic utility maximization. Rev. Econom. Stud. 23(3):165–180.Crossref, Google Scholar
• [47] Wong KC, Yam SCP, Zheng H (2017) Utility-deviation-risk portfolio selection. SIAM J. Control Optim. 55(3):1819–1861.Crossref, Google Scholar
• [48] Yong J, Zhou XY (1999) Stochastic Controls: Hamiltonian Systems and HJB Equations, vol. 43 (Springer Science & Business Media, New York).Crossref, Google Scholar