Utility maximization in models with conditionally independent increments (Q614120): Difference between revisions

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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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+Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
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+Stochastic Volatility for Lévy Processes
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+Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
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+Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
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+A complete explicit solution to the log-optimal portfolio problem.
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+On the minimal entropy martingale measure.
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+A note on log-optimal portfolios in exponential Lévy markets
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+Calcul stochastique et problèmes de martingales
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+Q4778955
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+Optimal portfolios for exponential Lévy processes.
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+$\sigma$-Localization and $\sigma$-Martingales
@@ Property / cites work: $\sigma$-Localization and $\sigma$-Martingales / rank @@
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+Q5493554
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+Pricing derivatives of American and game type in incomplete markets
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+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Q4368791
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+Q4211565
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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+NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
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+Optimum consumption and portfolio rules in a continuous-time model
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+Q4435813
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+The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
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+On the extension of von Neumann-Aumann's theorem
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+Q4937701
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+A solution approach to valuation with unhedgeable risks
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+Publication:614120