Utility maximization in incomplete markets (Q2572389): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Théorie probabiliste du contrôle des diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex duality in constrained portfolio optimization / 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: Exponential Hedging and Entropic Penalties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4086511 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Via Utility Maximization and Entropy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic finance. An introduction in discrete time / 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: Continuous exponential martingales and BMO / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations and partial differential equations with quadratic growth. / 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: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adapted solution of a backward stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2782366 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4657108 / rank
 
Normal rank

Latest revision as of 11:34, 11 June 2024

scientific article
Language Label Description Also known as
English
Utility maximization in incomplete markets
scientific article

    Statements

    Utility maximization in incomplete markets (English)
    0 references
    0 references
    8 November 2005
    0 references
    The authors consider the problem of utility maximization for small traders in incomplete financial markets, with constraints described by closed, but not necessarily convex, sets. The corresponding final wealths are identified, the trading strategies are seen to be optimal, and the value functions are determined simply by the initial values of the wealths. Particular cases are treated, such as: exponential, power and logarithmic utility.
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references