Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (Q486932): Difference between revisions

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+utility maximization
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+incomplete markets
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+duality theory
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+Legendre-Fenchel transformation
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@@ Property / arXiv ID: 1107.5852 / rank @@
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@@ Property / cites work @@
+A short proof of the Doob-Meyer theorem
@@ Property / cites work: A short proof of the Doob-Meyer theorem / rank @@
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@@ Property / cites work @@
+Optimal investment decisions when time-horizon is uncertain
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@@ Property / cites work @@
+Q5436596
@@ Property / cites work: Q5436596 / rank @@
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@@ Property / cites work @@
+Wealth-path dependent utility maximization in incomplete markets
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@@ Property / cites work @@
+Q4938954
@@ Property / cites work: Q4938954 / rank @@
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@@ Property / cites work @@
+Optimal consumption strategies under model uncertainty
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@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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@@ Property / cites work @@
+A variational problem arising in financial economics
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@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
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@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
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@@ Property / cites work @@
+Optional decompositions under constraints
@@ Property / cites work: Optional decompositions under constraints / rank @@
+Normal rank
@@ Property / cites work @@
+A complete explicit solution to the log-optimal portfolio problem.
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@@ Property / cites work @@
+Robust utility maximization for complete and incomplete markets
+Normal rank
@@ Property / cites work @@
+Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case<sup>1</sup>
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@@ Property / cites work @@
+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
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@@ Property / cites work @@
+Optimization Problems in the Theory of Continuous Trading
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@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
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@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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@@ Property / cites work @@
+Asymptotics of robust utility maximization
@@ Property / cites work: Asymptotics of robust utility maximization / rank @@
+Normal rank
@@ Property / cites work @@
+A generalization of a problem of Steinhaus
@@ Property / cites work: A generalization of a problem of Steinhaus / rank @@
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@@ 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 @@
+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Robust utility maximization with unbounded random endowment
+Normal rank
@@ Property / cites work @@
+Q4435813
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@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
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@@ Property / cites work @@
+Duality theory for optimal investments under model uncertainty
+Normal rank
@@ Property / cites work @@
+New proofs of a theorem of Komlós
@@ Property / cites work: New proofs of a theorem of Komlós / rank @@
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@@ Property / cites work @@
+Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
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@@ Property / cites work @@
+Q4213413
@@ Property / cites work: Q4213413 / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization with a stochastic clock and an unbounded random endowment
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@@ Property / cites work @@
+Robust optimization of consumption with random endowment
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:486932