OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956): Difference between revisions

Latest revision as of 22:33, 27 June 2024

scientific article; zbMATH DE number 5270376

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English	OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION	scientific article; zbMATH DE number 5270376

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instance of

scholarly article

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title

OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (English)

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zbMATH Open document ID

1133.91363

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DOI

10.1111/j.1467-9965.2007.00330.x

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30 April 2008

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Mathematics Subject Classification ID

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9965.2007.00330.x

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OpenAlex ID

W1984671878

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cites work

Optimum portfolio diversification in a general continuous-time model

0 references

Ruin problems and myopic portfolio optimization in continuous trading

0 references

A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

0 references

Backward stochastic differential equations and integral-partial differential equations

0 references

Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging

0 references

Bond Market Structure in the Presence of Marked Point Processes

0 references

Discrete-time approximation of decoupled Forward-Backward SDE with jumps

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Q4356591

0 references

Financial Modelling with Jump Processes

0 references

Optimal consumption and portfolio policies when asset prices follow a diffusion process

0 references

Optimal consumption and equilibrium prices with portfolio constraints and stochastic income

0 references

Optimal consumption choices for a `large' investor

0 references

A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements

0 references

Convex duality in constrained portfolio optimization

0 references

CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS

0 references

Numerical methods for forward-backward stochastic differential equations

0 references

Stochastic Differential Utility

0 references

Affine processes and applications in finance

0 references

Hedging in incomplete markets with HARA utility

0 references

Optimization of consumption with labor income

0 references

A dynamic maximum principle for the optimization of recursive utilities under constraints.

0 references

Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

0 references

A regression-based Monte Carlo method to solve backward stochastic differential equations

0 references

Labor income, borrowing constraints, and equilibrium asset prices

0 references

Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

0 references

Q4778955

0 references

Optimal portfolio for a small investor in a market model with discontinuous prices

0 references

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

0 references

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

0 references

Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

0 references

Temporal Resolution of Uncertainty and Dynamic Choice Theory

0 references

A Generalized Stochastic Differential Utility

0 references

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

0 references

Backward stochastic differential equations with continuous coefficient

0 references

Existence for BSDE with superlinear–quadratic coefficient

0 references

Numerical method for backward stochastic differential equations

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

Optimum consumption and portfolio rules in a continuous-time model

0 references

A generalized clark representation formula, with application to optimal portfolios

0 references

Adapted solution of a backward stochastic differential equation

0 references

Probabilistic interpretation of a system of semilinear parabolic partial differential equations

0 references

Backward stochastic differential equations with jumps and related nonlinear expectations

0 references

Optimal consumption and portfolio selection with stochastic differential utility

0 references

Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.

0 references

Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income

0 references

Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

0 references

Optimal consumption and portfolio choice with borrowing constraints

0 references

Consumption-Investment Models with Constraints

0 references

A numerical scheme for BSDEs

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5459956

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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2007.00330.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1984671878
@@ Property / OpenAlex ID: W1984671878 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum portfolio diversification in a general continuous-time model
+Normal rank
@@ Property / cites work @@
+Ruin problems and myopic portfolio optimization in continuous trading
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Bond Market Structure in the Presence of Marked Point Processes
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4356591
@@ Property / cites work: Q4356591 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
+Normal rank
@@ Property / cites work @@
+Optimal consumption choices for a `large' investor
+Normal rank
@@ Property / cites work @@
+A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
+Normal rank
@@ Property / cites work @@
+Convex duality in constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+Numerical methods for forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging in incomplete markets with HARA utility
@@ Property / cites work: Hedging in incomplete markets with HARA utility / rank @@
+Normal rank
@@ Property / cites work @@
+Optimization of consumption with labor income
@@ Property / cites work: Optimization of consumption with labor income / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic maximum principle for the optimization of recursive utilities under constraints.
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Labor income, borrowing constraints, and equilibrium asset prices
+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 @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio for a small investor in a market model with discontinuous prices
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Temporal Resolution of Uncertainty and Dynamic Choice Theory
+Normal rank
@@ Property / cites work @@
+A Generalized Stochastic Differential Utility
@@ Property / cites work: A Generalized Stochastic Differential Utility / rank @@
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with continuous coefficient
+Normal rank
@@ Property / cites work @@
+Existence for BSDE with superlinear–quadratic coefficient
+Normal rank
@@ Property / cites work @@
+Numerical method for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+A generalized clark representation formula, with application to optimal portfolios
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation of a system of semilinear parabolic partial differential equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio selection with stochastic differential utility
+Normal rank
@@ Property / cites work @@
+Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
+Normal rank
@@ Property / cites work @@
+Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio choice with borrowing constraints
+Normal rank
@@ Property / cites work @@
+Consumption-Investment Models with Constraints
@@ Property / cites work: Consumption-Investment Models with Constraints / rank @@
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank