Deflators and optimal portfolios under random horizon


This paper investigates the impact of a random horizon on the optimal investment/portfolio. This random horizon is a general random time that might represent generally an occurrence time of an event (default time) that... [ view full abstract ]


  1. Sina Yansori (University of Alberta)
  2. Tahir Choulli (University of Alberta)

Topic Areas

Optimal Investment , Optimization , Utility Theory


MO-A-SY » Portfolio Choice and Beyond (11:30 - Monday, 16th July, Synge)

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