Hobson, David
- The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility
2021/07/14 by David Hobson, Martin Herdegen, Hobson, David +3 · 5 citations
Economics, Econometrics and Finance · #49L20 #60H20 #91B16 #91G10 #91G80 #93E20 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #G.1.9 #G.3 #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
- Utility theory front to back - inferring utility from agents' choices
2011/01/18 by Cox, Alexander M. G., Hobson, David, Obloj, Jan · 2 citations
#91B16 #93E20 #FOS: Economics and business #Portfolio Management (q-fin.PM)
- Robust price bounds for the forward starting straddle
2013/04/08 by David Hobson, Hobson, David, Martin Klimmek +1 · 2 citations
Economics, Econometrics and Finance · #91G20 #Diverse Scientific and Economic Studies #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
- Proper solutions for Epstein-Zin Stochastic Differential Utility
2021/12/13 by Herdegen, Martin, Hobson, David, Jerome, Joseph · 3 citations
#60H20 #91B16 #93E20 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
- An elementary approach to the Merton problem
2020/06/09 by Herdegen, Martin, Hobson, David, Jerome, Joseph · 3 citations
#FOS: Economics and business #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM)
- Portfolio Optimization under Transaction Costs with Recursive Preferences
2024/02/13 by Herdegen, Martin, Hobson, David, Tse, Alex S. L. · 2 citations
#49L20 #60H20 #91B16 #91G10 #93E20 #FOS: Economics and business #General Economics (econ.GN) #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM)
- On the value of being American
2016/04/08 by David Hobson, Anthony Neuberger, Hobson, David +1 · 1 citation
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Capital Investment and Risk Analysis #Monetary Policy and Economic Impact
- Optimal Investment and Consumption in a Stochastic Factor Model
2025/09/11 by Gutekunst, Florian, Herdegen, Martin, Hobson, David · 1 citation
#91G10 91G80 93E20 34A34 91B16 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM)