Abstract
We introduce a new class of dynamic utilities that are generated forward in time. We discuss the associated value functions, optimal investments, and indifference prices and we compare them with their traditional counterparts, implied by backward dynamic utilities.
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APA
Musiela, M., & Zariphopoulou, T. (2007). Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model. In Applied and Numerical Harmonic Analysis (pp. 303–334). Springer International Publishing. https://doi.org/10.1007/978-0-8176-4545-8_16
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