OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK (Q2851560): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2012.00528.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1575744783
@@ Property / OpenAlex ID: W1575744783 / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and Portfolio Optimization in Financial Markets with a Large Trader
+Normal rank
@@ Property / cites work @@
+Consumption choice and asset pricing with a non-price-taking agent
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
+Normal rank
@@ Property / cites work @@
+Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
+Normal rank
@@ Property / cites work @@
+Optimal consumption choices for a `large' investor
+Normal rank
@@ Property / cites work @@
+Hedging options for a large investor and forward-backward SDE's
+Normal rank
@@ Property / cites work @@
+Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities
+Normal rank
@@ Property / cites work @@
+Large traders and illiquid options: hedging vs. manipulation
+Normal rank
@@ Property / cites work @@
+Q4936390
@@ Property / cites work: Q4936390 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
+Normal rank