{"id":"https://openalex.org/W200028774","doi":"https://doi.org/10.1007/978-0-8176-4545-8_16","title":"Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model","display_name":"Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model","publication_year":2007,"publication_date":"2007-06-22","ids":{"openalex":"https://openalex.org/W200028774","doi":"https://doi.org/10.1007/978-0-8176-4545-8_16","mag":"200028774"},"language":"en","primary_location":{"id":"doi:10.1007/978-0-8176-4545-8_16","doi":"https://doi.org/10.1007/978-0-8176-4545-8_16","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-0-8176-4545-8_16","pdf_url":null,"source":{"id":"https://openalex.org/S4306462921","display_name":"Birkh\u00e4user Boston eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied and Numerical Harmonic Analysis","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W350910197","display_name":"Advances in Mathematical Finance"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5021502795","display_name":"Marek Musiela","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210125967","display_name":"BNP Paribas (United Kingdom)","ror":"https://ror.org/02nncgd63","country_code":"GB","type":"company","lineage":["https://openalex.org/I4210125967","https://openalex.org/I95549939"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Marek Musiela","raw_affiliation_strings":["BNP Paribas London, United Kingdom"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"BNP Paribas London, United Kingdom","institution_ids":["https://openalex.org/I4210125967"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066116626","display_name":"Thaleia Zariphopoulou","orcid":"https://orcid.org/0000-0002-4213-3720","observed_orcids":["https://orcid.org/0000-0002-4213-3720"]},"institutions":[{"id":"https://openalex.org/I86519309","display_name":"The University of Texas at Austin","ror":"https://ror.org/00hj54h04","country_code":"US","type":"education","lineage":["https://openalex.org/I86519309"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Thaleia Zariphopoulou","raw_affiliation_strings":["Department of Mathematics and Information Department of Risk and Operations Management, The University of Texas at Austin Austin, TX 78712, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Information Department of Risk and Operations Management, The University of Texas at Austin Austin, TX 78712, USA","institution_ids":["https://openalex.org/I86519309"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":9.288,"has_fulltext":false,"cited_by_count":73,"citation_normalized_percentile":{"value":0.98433661,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"303","last_page":"334"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9940999746322632,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.0015999999595806003,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-factor-models","display_name":"stochastic factor models","score":0.8629999756813049},{"id":"https://openalex.org/keywords/optimal-investment","display_name":"optimal investment","score":0.9340000152587891},{"id":"https://openalex.org/keywords/indifference-pricing","display_name":"indifference pricing","score":0.796999990940094},{"id":"https://openalex.org/keywords/value-function","display_name":"value function","score":0.9160000085830688},{"id":"https://openalex.org/keywords/investment-under-uncertainty","display_name":"investment under uncertainty","score":0.5540000200271606}],"concepts":[{"id":"https://openalex.org/C186027771","wikidata":"https://www.wikidata.org/wiki/Q4008379","display_name":"Valuation (finance)","level":2,"score":0.766101598739624},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.616148054599762},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5735053420066833},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.49341192841529846},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4748706519603729},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4695221781730652},{"id":"https://openalex.org/C2775875300","wikidata":"https://www.wikidata.org/wiki/Q6060896","display_name":"Investment value","level":3,"score":0.4679469168186188},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.46540385484695435},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.45081859827041626},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.36063551902770996},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3570789098739624},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.33888089656829834},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3233705163002014},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.291488379240036},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15671417117118835},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0825742781162262},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-0-8176-4545-8_16","doi":"https://doi.org/10.1007/978-0-8176-4545-8_16","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-0-8176-4545-8_16","pdf_url":null,"source":{"id":"https://openalex.org/S4306462921","display_name":"Birkh\u00e4user Boston eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied and Numerical Harmonic Analysis","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"score":0.44999998807907104,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W134645927","https://openalex.org/W184134608","https://openalex.org/W576312252","https://openalex.org/W1718698627","https://openalex.org/W1930083487","https://openalex.org/W1973185776","https://openalex.org/W1979627408","https://openalex.org/W1989329198","https://openalex.org/W1991552664","https://openalex.org/W2020513063","https://openalex.org/W2026807577","https://openalex.org/W2039306143","https://openalex.org/W2040425860","https://openalex.org/W2044381497","https://openalex.org/W2045697620","https://openalex.org/W2052493589","https://openalex.org/W2074395921","https://openalex.org/W2076206540","https://openalex.org/W2076623791","https://openalex.org/W2095499328","https://openalex.org/W2105832006","https://openalex.org/W2116404121","https://openalex.org/W2130304566","https://openalex.org/W2161007682","https://openalex.org/W2249206850","https://openalex.org/W2892093776","https://openalex.org/W3035378933","https://openalex.org/W3120164020","https://openalex.org/W3121621800","https://openalex.org/W3123844941","https://openalex.org/W3125981747","https://openalex.org/W3149718604","https://openalex.org/W4236917812"],"related_works":["https://openalex.org/W2073955344","https://openalex.org/W125067906","https://openalex.org/W4416548359","https://openalex.org/W2335936441","https://openalex.org/W7026549879","https://openalex.org/W3125732087","https://openalex.org/W2298354756","https://openalex.org/W2166846086","https://openalex.org/W1945840048","https://openalex.org/W2789692208"],"abstract_inverted_index":{"We":[0,14],"introduce":[1],"a":[2],"new":[3],"class":[4],"of":[5],"dynamic":[6,36],"utilities":[7],"that":[8],"are":[9],"generated":[10],"forward":[11],"in":[12],"time.":[13],"discuss":[15],"the":[16],"associated":[17],"value":[18],"functions,":[19],"optimal":[20],"investments,":[21],"and":[22,25],"indifference":[23],"prices":[24],"we":[26],"compare":[27],"them":[28],"with":[29],"their":[30],"traditional":[31],"counterparts,":[32],"implied":[33],"by":[34],"backward":[35],"utilities.":[37]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":2}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
