Pages that link to "Item:Q1413691"
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The following pages link to A complete explicit solution to the log-optimal portfolio problem. (Q1413691):
Displaying 50 items.
- A discontinuous mispricing model under asymmetric information (Q319248) (← links)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- A note on the condition of no unbounded profit with bounded risk (Q468417) (← links)
- Abstract, classic, and explicit turnpikes (Q471171) (← links)
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (Q486932) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- Insider models with finite utility in markets with jumps (Q649119) (← links)
- On the semimartingale property of discounted asset-price processes (Q719780) (← links)
- Asymmetric information in fads models (Q854270) (← links)
- The structure of optimal consumption streams in general incomplete markets (Q926391) (← links)
- Asymptotic arbitrage and numéraire portfolios in large financial markets (Q928500) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Minimal Hellinger martingale measures of order \(q\) (Q1003340) (← links)
- A computational scheme for the optimal strategy in an incomplete market (Q1027435) (← links)
- Optimal consumption and investment under partial information (Q1029540) (← links)
- Utility maximization with a stochastic clock and an unbounded random endowment (Q1774197) (← links)
- The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
- Numéraire-invariant preferences in financial modeling (Q1958497) (← links)
- Log-optimal and numéraire portfolios for market models stopped at a random time (Q2153525) (← links)
- BSDEs and log-utility maximization for Lévy processes (Q2178928) (← links)
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire (Q2182639) (← links)
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
- Expected log-utility maximization under incomplete information and with Cox-process observations (Q2254308) (← links)
- The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints (Q2267519) (← links)
- Consumption in incomplete markets (Q2308177) (← links)
- Numeraire portfolios and utility-based price systems under proportional transaction costs (Q2343095) (← links)
- Logarithmic utility maximization in an exponential Lévy model (Q2356496) (← links)
- The Bellman equation for power utility maximization with semimartingales (Q2428054) (← links)
- Risk aversion asymptotics for power utility maximization (Q2428507) (← links)
- Local risk-minimization under the benchmark approach (Q2452150) (← links)
- The numéraire portfolio in semimartingale financial models (Q2463718) (← links)
- A fair pricing approach to weather derivatives (Q2575439) (← links)
- Diversified portfolios with jumps in a benchmark framework (Q2575440) (← links)
- Consumption and investment with interest rate risk (Q2633849) (← links)
- A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES (Q2862512) (← links)
- Explicit Description of HARA Forward Utilities and Their Optimal Portfolios (Q2967981) (← links)
- No Arbitrage and the Growth Optimal Portfolio (Q3423706) (← links)
- Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
- On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model (Q3462260) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- A Discrete Time Benchmark Approach for Insurance and Finance (Q4661678) (← links)
- A class of complete benchmark models with intensity-based jumps (Q4819433) (← links)
- Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
- PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK (Q4990920) (← links)
- Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality (Q5097173) (← links)
- SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
- NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE (Q5455262) (← links)
- A BENCHMARK APPROACH TO FINANCE (Q5472781) (← links)
- A General Benchmark Model for Stochastic Jump Sizes (Q5697673) (← links)
- Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model (Q6130338) (← links)
