Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model (Q6130338): Difference between revisions

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scientific article; zbMATH DE number 7826826

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English	Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model	scientific article; zbMATH DE number 7826826

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instance of

scholarly article

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title

Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model (English)

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Finance and Stochastics

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publication date

2 April 2024

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zbMATH Keywords

asymptotic analysis

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semimartingale

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incomplete market

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duality theory

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00780-024-00532-6

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cites work

The pricing of contingent claims and optimal positions in asymptotically complete markets

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Sensitivity analysis for expected utility maximization in incomplete Brownian market models

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Merton's Optimal Investment Problem with Jump Signals

0 references

Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

0 references

On the structure of general mean-variance hedging strategies

0 references

Cone-constrained continuous-time Markowitz problems

0 references

A general version of the fundamental theorem of asset pricing

0 references

The mathematics of arbitrage

0 references

A complete explicit solution to the log-optimal portfolio problem.

0 references

Q5689624

0 references

Mean-Variance Hedging and Numeraire

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STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS

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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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Hedging with small uncertainty aversion

0 references

Forward-backward systems for expected utility maximization

0 references

Utility maximization in incomplete markets

0 references

Q4778955

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Minimal \(f^q\)-Martingale measures for exponential Lévy processes

0 references

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

0 references

Optimal portfolios for exponential Lévy processes.

0 references

Derivative pricing based on local utility maximization

0 references

Utility maximization in models with conditionally independent increments

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THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS

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The numéraire portfolio in semimartingale financial models

0 references

Portfolio Theory and Arbitrage

0 references

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

0 references

Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

0 references

On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets

0 references

Sensitivity analysis of utility-based prices and risk-tolerance wealth processes

0 references

Dynamic programming and mean-variance hedging

0 references

Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems

0 references

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption

0 references

Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire

0 references

Sensitivity analysis of the utility maximisation problem with respect to model perturbations

0 references

Mean-variance hedging for continuous processes: New proofs and examples

0 references

A comparison of stochastic integrals

0 references

Q4435813

0 references

The decomposition of matrix-valued measures

0 references

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS

0 references

Forward Backward Semimartingale Systems for Utility Maximization

0 references

Martingale densities for general asset prices

0 references

On the minimal martingale measure and the möllmer-schweizer decomposition

0 references

A solution approach to valuation with unhedgeable risks

0 references

Identifiers

Mathematics Subject Classification ID

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10.1007/S00780-024-00532-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:6130338

@@ Property / DOI @@
-.1007/s00780-024-00532-6
@@ Property / DOI: 10.1007/s00780-024-00532-6 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-024-00532-6
+Normal rank
@@ Property / OpenAlex ID @@
+W4393225719
@@ Property / OpenAlex ID: W4393225719 / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of contingent claims and optimal positions in asymptotically complete markets
+Normal rank
@@ Property / cites work @@
+Sensitivity analysis for expected utility maximization in incomplete Brownian market models
+Normal rank
@@ Property / cites work @@
+Merton's Optimal Investment Problem with Jump Signals
+Normal rank
@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+On the structure of general mean-variance hedging strategies
+Normal rank
@@ Property / cites work @@
+Cone-constrained continuous-time Markowitz problems
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The mathematics of arbitrage
@@ Property / cites work: The mathematics of arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+A complete explicit solution to the log-optimal portfolio problem.
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging and Numeraire
@@ Property / cites work: Mean-Variance Hedging and Numeraire / rank @@
+Normal rank
@@ Property / cites work @@
+STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS
@@ Property / cites work: STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS / rank @@
+Normal rank
@@ Property / cites work @@
+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
+Normal rank
@@ Property / cites work @@
+Real options with constant relative risk aversion
@@ Property / cites work: Real options with constant relative risk aversion / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging with small uncertainty aversion
@@ Property / cites work: Hedging with small uncertainty aversion / rank @@
+Normal rank
@@ Property / cites work @@
+Forward-backward systems for expected utility maximization
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimal \(f^q\)-Martingale measures for exponential Lévy processes
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging via stochastic control and BSDEs for general semimartingales
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for exponential Lévy processes.
+Normal rank
@@ Property / cites work @@
+Derivative pricing based on local utility maximization
+Normal rank
@@ Property / cites work @@
+Utility maximization in models with conditionally independent increments
+Normal rank
@@ Property / cites work @@
+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+The numéraire portfolio in semimartingale financial models
+Normal rank
@@ Property / cites work @@
+Portfolio Theory and Arbitrage
@@ Property / cites work: Portfolio Theory and Arbitrage / rank @@
+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 @@
+On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
+Normal rank
@@ Property / cites work @@
+Dynamic programming and mean-variance hedging
@@ Property / cites work: Dynamic programming and mean-variance hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
+Normal rank
@@ Property / cites work @@
+Sensitivity analysis of the utility maximisation problem with respect to model perturbations
+Normal rank
@@ Property / cites work @@
+Mean-variance hedging for continuous processes: New proofs and examples
+Normal rank
@@ Property / cites work @@
+A comparison of stochastic integrals
@@ Property / cites work: A comparison of stochastic integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+The decomposition of matrix-valued measures
@@ Property / cites work: The decomposition of matrix-valued measures / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS
@@ Property / cites work: PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS / rank @@
+Normal rank
@@ Property / cites work @@
+Forward Backward Semimartingale Systems for Utility Maximization
+Normal rank
@@ Property / cites work @@
+Martingale densities for general asset prices
@@ Property / cites work: Martingale densities for general asset prices / rank @@
+Normal rank
@@ Property / cites work @@
+On the minimal martingale measure and the möllmer-schweizer decomposition
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank
@@ Property / DOI @@
+.1007/S00780-024-00532-6
@@ Property / DOI: 10.1007/S00780-024-00532-6 / rank @@
+Normal rank