The opportunity process for optimal consumption and investment with power utility (Q1932536): Difference between revisions

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+.1879
@@ Property / arXiv ID: 0912.1879 / rank @@
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+On the structure of general mean-variance hedging strategies
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+Weighted norm inequalities and hedging in incomplete markets
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+The fundamental theorem of asset pricing for unbounded stochastic processes
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+A complete explicit solution to the log-optimal portfolio problem.
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+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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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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+Dynamic programming and mean-variance hedging
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+Optimum consumption and portfolio rules in a continuous-time model
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+The Bellman equation for power utility maximization with semimartingales
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+POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
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+Risk aversion asymptotics for power utility maximization
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+On the minimal martingale measure and the möllmer-schweizer decomposition
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+Explicit solutions of some utility maximization problems in incomplete markets
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+A solution approach to valuation with unhedgeable risks
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+A filtered version of the bipolar theorem of Brannath and Schachermayer
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