OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (Q5247420): Difference between revisions

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+Multi-asset portfolio selection problem with transaction costs
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+Capital Market Equilibrium with Personal Tax
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+Portfolio selection with transactions costs
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+Convex duality in constrained portfolio optimization
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+Portfolio Selection with Transaction Costs
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+Transactions costs and portfolio choice in a discrete-continuous-time setting
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+A financial market with interacting investors: does an equilibrium exist?
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+Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case<sup>1</sup>
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+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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+Utility maximization in incomplete markets
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+Optimal investment with taxes: an optimal control problem with endogeneous delay
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+Optimal investment with taxes: An existence result
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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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+Pricing Via Utility Maximization and Entropy
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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 the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
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+Mean field games
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+Dynamic exponential utility indifference valuation
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+Optimum consumption and portfolio rules in a continuous-time model
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+Optimal investment and consumption with transaction costs
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+Consumption-Investment Models with Constraints
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