Continuous-time security pricing. A utility gradient approach (Q1322708): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4068(94)90001-9
+Normal rank
@@ Property / OpenAlex ID @@
+W1523509543
@@ Property / OpenAlex ID: W1523509543 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward-forward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Asset pricing for general processes
@@ Property / cites work: Asset pricing for general processes / rank @@
+Normal rank
@@ Property / cites work @@
+An intertemporal asset pricing model with stochastic consumption and investment opportunities
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+An Intertemporal General Equilibrium Model of Asset Prices
+Normal rank
@@ Property / cites work @@
+Q3957683
@@ Property / cites work: Q3957683 / rank @@
+Normal rank
@@ Property / cites work @@
+Asset Prices in an Exchange Economy with Habit Formation
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+The Consumption-Based Capital Asset Pricing Model
@@ Property / cites work: The Consumption-Based Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
+Normal rank
@@ Property / cites work @@
+Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
+Normal rank
@@ Property / cites work @@
+On intertemporal preferences in continuous time. The case of certainty
+Normal rank
@@ Property / cites work @@
+Q4104377
@@ Property / cites work: Q4104377 / rank @@
+Normal rank
@@ Property / cites work @@
+Information structures and viable price systems
@@ Property / cites work: Information structures and viable price systems / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
+Normal rank
@@ Property / cites work @@
+Q4856610
@@ Property / cites work: Q4856610 / rank @@
+Normal rank
@@ Property / cites work @@
+Equivalent Equilibria
@@ Property / cites work: Equivalent Equilibria / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Q5566063
@@ Property / cites work: Q5566063 / rank @@
+Normal rank
@@ Property / cites work @@
+A new approach to the existence of equilibria in vector lattices
+Normal rank
@@ Property / cites work @@
+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Growth with Intertemporally Dependent Preferences
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1322708