The opportunity process for optimal consumption and investment with power utility (Q1932536): Difference between revisions

@@ Property / cites work @@
+On the structure of general mean-variance hedging strategies
+Normal rank
@@ Property / cites work @@
+Weighted norm inequalities and hedging in incomplete markets
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+Q3957683
@@ Property / cites work: Q3957683 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+A complete explicit solution to the log-optimal portfolio problem.
+Normal rank
@@ Property / cites work @@
+Q2736598
@@ Property / cites work: Q2736598 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
+Normal rank
@@ Property / cites work @@
+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
+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 @@
+Dynamic programming and mean-variance hedging
@@ Property / cites work: Dynamic programming and mean-variance hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q4459182
@@ Property / cites work: Q4459182 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+The Bellman equation for power utility maximization with semimartingales
+Normal rank
@@ Property / cites work @@
+POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
+Normal rank
@@ Property / cites work @@
+Risk aversion asymptotics for power utility maximization
+Normal rank
@@ Property / cites work @@
+On the minimal martingale measure and the möllmer-schweizer decomposition
+Normal rank
@@ Property / cites work @@
+Explicit solutions of some utility maximization problems in incomplete markets
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank
@@ Property / cites work @@
+A filtered version of the bipolar theorem of Brannath and Schachermayer
+Normal rank