Utility maximization in models with conditionally independent increments (Q614120): Difference between revisions

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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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+Optimal portfolios for exponential Lévy processes.
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+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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+NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
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+Optimum consumption and portfolio rules in a continuous-time model
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+The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
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+A solution approach to valuation with unhedgeable risks
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