Young, timid, and risk takers
From MaRDI portal
Publication:6054383
DOI10.1111/MAFI.12329zbMath1522.91221OpenAlexW3184334007MaRDI QIDQ6054383
Lóránt Nagy, Miklós Rásonyi, Paolo Guasoni
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/11585/855656
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Abstract, classic, and explicit turnpikes
- On the martingale property of certain local martingales
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Hedging in incomplete markets with HARA utility
- Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
- Risk-sensitive control and an optimal investment model. II.
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Risk sensitive asset management with transaction costs
- Portfolios and risk premia for the long run
- Risk aversion asymptotics for power utility maximization
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- An explicit solution for optimal investment problems with autoregressive prices and exponential utility
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- Exponential Hedging and Entropic Penalties
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- An Intertemporal Capital Asset Pricing Model
- Risk-sensitive portfolio optimization on infinite time horizon
- Risk-Sensitive Control on an Infinite Time Horizon
- Should Commodity Investors Follow Commodities' Prices?
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Dynamic Programming Conditions for Partially Observable Stochastic Systems
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- A solution approach to valuation with unhedgeable risks
This page was built for publication: Young, timid, and risk takers
