Consumption in incomplete markets (Q2308177): Difference between revisions

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+Q3355178
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+Q3425149
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+Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
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+Equivalent and absolutely continuous measure changes for jump-diffusion processes
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+A Theory of the Term Structure of Interest Rates
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+Convex duality in constrained portfolio optimization
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+Hedging in incomplete markets with HARA utility
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+Two singular diffusion problems
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+An optimal consumption model with stochastic volatility
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+An Application of Stochastic Control Theory to Financial Economics
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+Q4040640
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+A complete explicit solution to the log-optimal portfolio problem.
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+Portfolios and risk premia for the long run
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+Consumption and investment with interest rate risk
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+On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution
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+On the Hamilton--Jacobi--Bellman Equation for an Optimal Consumption Problem: II. Verification Theorem
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+Evaluating Portfolio Policies: A Duality Approach
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+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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+Martingales versus PDEs in finance: an equivalence result with examples
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+Q4902474
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+Consumption and portfolio turnpike theorems in a continuous-time finance model
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+Q4002114
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+An Intertemporal Capital Asset Pricing Model
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+Functional calculus for sesquilinear forms and the purification map
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+Optimal Investment
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+Multidimensional diffusion processes.
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+A solution approach to valuation with unhedgeable risks
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