Constrained nonsmooth utility maximization on the positive real line (Q2356566): Difference between revisions

@@ Property / OpenAlex ID @@
+W1554292287
@@ Property / OpenAlex ID: W1554292287 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4055
@@ Property / arXiv ID: 1010.4055 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Existence of Minimax Martingale Measures
@@ Property / cites work: On the Existence of Minimax Martingale Measures / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets for unbounded processes
+Normal rank
@@ Property / cites work @@
+INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
@@ Property / cites work: INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES / rank @@
+Normal rank
@@ Property / cites work @@
+Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
+Normal rank
@@ Property / cites work @@
+Turnpike property and convergence rate for an investment model with general utility functions
+Normal rank
@@ Property / cites work @@
+Dual formulation of the utility maximization problem: the case of nonsmooth utility.
+Normal rank
@@ Property / cites work @@
+Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets with random endowment
+Normal rank
@@ Property / cites work @@
+Convergence in the Semimartingale Topology and Constrained Portfolios
+Normal rank
@@ Property / cites work @@
+Dual formulation of the utility maximization problem under transaction costs
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+Q4192768
@@ Property / cites work: Q4192768 / rank @@
+Normal rank
@@ Property / cites work @@
+Optional decompositions under constraints
@@ Property / cites work: Optional decompositions under constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Q3917042
@@ Property / cites work: Q3917042 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5509729
@@ Property / cites work: Q5509729 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment with random endowments in incomplete markets.
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
+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 @@
+Q5566063
@@ Property / cites work: Q5566063 / rank @@
+Normal rank
@@ Property / cites work @@
+Espaces de semi martingales et changement de probabilit�
+Normal rank
@@ Property / cites work @@
+Stochastic optimization under constraints.
@@ Property / cites work: Stochastic optimization under constraints. / rank @@
+Normal rank
@@ Property / cites work @@
+Minimizing shortfall risk and applications to finance and insurance problems
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Extension of Fenchel's duality theorem for convex functions
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Integrals which are convex functionals. II
@@ Property / cites work: Integrals which are convex functionals. II / rank @@
+Normal rank
@@ Property / cites work @@
+Q4429138
@@ Property / cites work: Q4429138 / rank @@
+Normal rank
@@ Property / cites work @@
+Constrained nonsmooth utility maximization without quadratic inf convolution
+Normal rank
@@ Property / cites work @@
+Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
+Normal rank
@@ Property / cites work @@
+Finitely Additive Measures
@@ Property / cites work: Finitely Additive Measures / rank @@
+Normal rank