Pages that link to "Item:Q5422630"
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The following pages link to DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS (Q5422630):
Displayed 10 items.
- Multivariate utility maximization with proportional transaction costs (Q483930) (← links)
- Convex duality in optimal investment under illiquidity (Q484140) (← links)
- Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
- Near-optimal asset allocation in financial markets with trading constraints (Q2242286) (← links)
- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions (Q2945607) (← links)
- A convex duality approach for pricing contingent claims under partial information and short selling constraints (Q2974045) (← links)
- An Optimal Consumption Problem for General Factor Models (Q4586150) (← links)
- A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management (Q5080488) (← links)
- Conjugate duality in problems of constrained utility maximization (Q5190571) (← links)