Constrained nonsmooth utility maximization without quadratic inf convolution (Q1016629): Difference between revisions

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+Hedging of contingent claims and maximum price
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+On the super replication price of unbounded claims
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+Utility maximization in incomplete markets for unbounded processes
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+Utility maximization on the real line under proportional transaction costs
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+Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
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+Dual formulation of the utility maximization problem: the case of nonsmooth utility.
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+Dual formulation of the utility maximization problem under transaction costs
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+A general version of the fundamental theorem of asset pricing
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+Q4263612
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+Optional decompositions under constraints
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+Q3236241
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+Q3236240
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+On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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+On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
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+Optimal investment in incomplete markets when wealth may become negative.
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+A super-martingale property of the optimal portfolio process
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