Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire (Q2182639): Difference between revisions

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-.1016/j.spa.2020.01.003
@@ Property / DOI: 10.1016/j.spa.2020.01.003 / rank @@
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+W3006049492
@@ Property / OpenAlex ID: W3006049492 / rank @@
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@@ Property / arXiv ID @@
+.11427
@@ Property / arXiv ID: 1805.11427 / rank @@
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@@ Property / cites work @@
+The numeraire portfolio for unbounded semimartingale
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+A note on admissibility when the credit line is infinite
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+Mean-Variance Hedging and Numeraire
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+Portfolios and risk premia for the long run
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+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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+Real options with constant relative risk aversion
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+Forward-backward systems for expected utility maximization
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+Utility maximization in incomplete markets
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+An expansion in the model space in the context of utility maximization
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+PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS
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+The pricing of contingent claims and optimal positions in asymptotically complete markets
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+Forward Backward Semimartingale Systems for Utility Maximization
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+A solution approach to valuation with unhedgeable risks
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@@ Property / DOI @@
+.1016/J.SPA.2020.01.003
@@ Property / DOI: 10.1016/J.SPA.2020.01.003 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2182639