On utility maximization in discrete-time financial market models (Q558678): Difference between revisions

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+Dual formulation of the utility maximization problem: the case of nonsmooth utility.
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+No Arbitrage in Discrete Time Under Portfolio Constraints
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+Equivalent martingale measures and no-arbitrage in stochastic securities market models
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+ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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+Local martingales and the fundamental asset pricing theorems in the discrete-time case
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+ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
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+On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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+The Dalang-Morton-Willinger theorem under cone constraints.
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+The fundamental theorem of asset pricing with cone constraints
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+Equivalent martingale measures and no-arbitrage
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+A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
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+Optimal investment in incomplete markets when wealth may become negative.
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+A super-martingale property of the optimal portfolio process
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+Portfolio Optimization and Martingale Measures
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+Price systems constructed by optimal dynamic portfolios.
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