Two-agent Pareto optimal cooperative investment in general semimartingale model (Q3093075): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/02331930903369852 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2000183729 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Perspectives of Risk Sharing / rank
 
Normal rank
Property / cites work
 
Property / cites work: On games without side payments arising from a general class of markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A characterization of polyhedral market games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equilibrium in a Reinsurance Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process / rank
 
Normal rank
Property / cites work
 
Property / cites work: A variational problem arising in financial economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets with random endowment / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Limit Theorem on the Core of an Economy / rank
 
Normal rank
Property / cites work
 
Property / cites work: A general version of the fundamental theorem of asset pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fundamental theorem of asset pricing for unbounded stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging and liquidation under transaction costs in currency markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Foundations of Modern Probability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Necessary and sufficient conditions in the problem of optimal investment in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalized dynamic programming principle and hamilton-jacobi-bellman equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4235027 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3916401 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option hedging for semimartingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Competitive outcomes in the cores of market games / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic cooperative games in insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-agent investment in incomplete markets / rank
 
Normal rank

Latest revision as of 12:18, 4 July 2024

scientific article
Language Label Description Also known as
English
Two-agent Pareto optimal cooperative investment in general semimartingale model
scientific article

    Statements

    Two-agent Pareto optimal cooperative investment in general semimartingale model (English)
    0 references
    0 references
    0 references
    0 references
    12 October 2011
    0 references
    cooperative investment
    0 references
    Pareto optimum
    0 references
    incomplete markets
    0 references
    stochastic optimization
    0 references
    backward stochastic differential equation
    0 references
    0 references
    0 references

    Identifiers