Pages that link to "Item:Q3360774"
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The following pages link to Martingale and Duality Methods for Utility Maximization in an Incomplete Market (Q3360774):
Displayed 50 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Malliavin method for optimal investment in financial markets with memory (Q317870) (← links)
- Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty (Q367371) (← links)
- Pricing of non-redundant derivatives in a complete market (Q375374) (← links)
- A Bayesian approach for optimal reinsurance and investment in a diffusion model (Q383414) (← links)
- Forward-backward systems for expected utility maximization (Q401458) (← links)
- Optimal investment, consumption-leisure, insurance and retirement choice (Q470684) (← links)
- A note on the existence of the power investor's optimizer (Q483705) (← links)
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption (Q486932) (← links)
- Non-concave utility maximisation on the positive real axis in discrete time (Q496584) (← links)
- Existence of optimal consumption strategies in markets with longevity risk (Q506076) (← links)
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals (Q522056) (← links)
- A note on utility maximization with unbounded random endowment (Q633829) (← links)
- Modeling non-monotone risk aversion using SAHARA utility functions (Q643277) (← links)
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market (Q659255) (← links)
- Zero-level pricing method with transaction cost (Q691472) (← links)
- Horizon dependence of utility optimizers in incomplete models (Q693036) (← links)
- Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure (Q737172) (← links)
- On the construction of optimal payoffs (Q777925) (← links)
- Bounds for the utility-indifference prices of non-traded assets in incomplete markets (Q816441) (← links)
- Systemic optimal risk transfer equilibrium (Q829331) (← links)
- Efficient frontier of utility and CVaR (Q836867) (← links)
- Asymmetric information in fads models (Q854270) (← links)
- The mean-variance investment problem in a constrained financial market (Q859607) (← links)
- Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE (Q868314) (← links)
- Characterisation of optimal dual measures via distortion (Q882491) (← links)
- The existence of dominating local martingale measures (Q889615) (← links)
- How non-arbitrage, viability and numéraire portfolio are related (Q889619) (← links)
- Optimal investment for an insurer in the Lévy market: the martingale approach (Q923862) (← links)
- Asymptotic arbitrage and large deviations (Q941014) (← links)
- A geometric approach to multiperiod mean variance optimization of assets and liabilities (Q951516) (← links)
- Utility maximization under a shortfall risk constraint (Q952687) (← links)
- Explicit solutions to an optimal portfolio choice problem with stochastic income (Q956429) (← links)
- Optimal portfolios in Lévy markets under state-dependent bounded utility functions (Q965867) (← links)
- A secret to create a complete market from an incomplete market (Q990426) (← links)
- Optimal investment strategies with a reallocation constraint (Q992044) (← links)
- Optimal investment for an insurer: the martingale approach (Q995514) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- A computational scheme for the optimal strategy in an incomplete market (Q1027435) (← links)
- Optimal consumption and investment under partial information (Q1029540) (← links)
- Optimal consumption choices for a `large' investor (Q1128528) (← links)
- Effects of financial innovations on market volatility when beliefs are heterogeneous (Q1128635) (← links)
- Martingale densities for general asset prices (Q1199742) (← links)
- Optimal consumption and arbitrage in incomplete, finite state security markets (Q1313172) (← links)
- Continuous-time security pricing. A utility gradient approach (Q1322708) (← links)
- A general version of the fundamental theorem of asset pricing (Q1340170) (← links)
- Labor income, borrowing constraints, and equilibrium asset prices (Q1341465) (← links)
- Equilibrium asset prices and exchange rates (Q1349762) (← links)
- On martingale measures when asset returns have unpredictable jumps (Q1363465) (← links)
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (Q1379951) (← links)