A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

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The asset allocation puzzle is still a puzzle
Optimal consumption and investment under partial information
Optimal portfolios: new variations of an old theme
Portfolio selection with transaction costs under expected shortfall constraints
Objective comparisons of the optimal portfolios corresponding to different utility functions
Investor heterogeneity, asset pricing and volatility dynamics
A dual characterization of self-generation and exponential forward performances
Optimal consumption and portfolio policies when asset prices follow a diffusion process
Alternative growth versus security in continuous dynamic trading
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
A note on portfolio optimization with path-dependent utility
Optimal bank portfolio choice under fixed-rate deposit insurance
Optimal consumption and arbitrage in incomplete, finite state security markets
Continuous-time security pricing. A utility gradient approach
Applicable stochastic control: From theory to practice
Optimal consumption and portfolio choice with borrowing constraints
A stability result for the HARA class with stochastic interest rates.
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
Optimal consumption from investment and random endowment in incomplete semimartingale markets.
Risk sensitive asset allocation
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
Maximizing the probability of a perfect hedge
Sensitivity analysis for expected utility maximization in incomplete Brownian market models
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
Optimal investment and consumption when allowing terminal debt
The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
Optimal investment in incomplete markets when wealth may become negative.
A dynamic maximum principle for the optimization of recursive utilities under constraints.
Optimal portfolios for logarithmic utility.
Optimal investment with random endowments in incomplete markets.
A mispricing model of stocks under asymmetric information
Convex compactness and its applications
Portfolio selection of a closed-end mutual fund
Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization
Simplified mean-variance portfolio optimisation
The dual optimizer for the growth-optimal portfolio under transaction costs
Optimal consumption and portfolio selection with stochastic differential utility
On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment
High dimensional Markovian trading of a single stock
Optimal portfolios in the presence of stress scenarios a worst-case approach
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Annuity and insurance choice under habit formation
A dynamic programming approach to path-dependent constrained portfolios
Risk management with expected shortfall
Utility maximization via decoupling fields
Near-optimal asset allocation in financial markets with trading constraints
Portfolio selection: a review
Portfolio optimization under convex incentive schemes
Optimal investment and consumption decision of a family with life insurance
Portfolio optimization under Solvency II
Optimal retirement planning under partial information
Dynamic consumption and portfolio choice under prospect theory
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
Portfolio optimization for an investor with a benchmark
Optimal reinsurance and investment problem for an insurer with counterparty risk
H-J-B equations of optimal consumption-investment and verification theorems
Optimal risk-sharing with effort and project choice
Optimal investment with deferred capital gains taxes
Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
Portfolios and risk premia for the long run
Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
The supermartingale property of the optimal wealth process for general semimartingales
Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
Stability of utility-maximization in incomplete markets
FBSDE approach to utility portfolio selection in a market with random parameters
Worst-case scenario investment for insurers
Income drawdown option with minimum guarantee
The design of equity-indexed annuities
Computation of optimal portfolios using simulation-based dimension reduction
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Optimal investment and consumption under partial information
Optimal collective investment: an analysis of individual welfare
Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory
A stochastic flows approach for asset allocation with hidden economic environment
Some functional analytic tools for utility maximization
Optimal impulse control of a portfolio with a fixed transaction cost
Duality theory for portfolio optimisation under transaction costs
Optimal portfolio selection strategies under some constraints
Optimal design of equity-linked products with a probabilistic constraint
Portfolio choice via quantiles
STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
Two-agent Pareto optimal cooperative investment in general semimartingale model
Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
Malliavin method for optimal investment in financial markets with memory
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
Utility maximization with a given pricing measure when the utility is not necessarily concave
Forward-backward systems for expected utility maximization
Optimal investment, stochastic labor income and retirement
Optimal financial investments for non-concave utility functions
Optimal investment strategies for general utilities under dynamic elasticity of variance models
LIFE INSURANCE AND PENSION CONTRACTS I: THE TIME ADDITIVE LIFE CYCLE MODEL
Life insurance and pension contracts. II: The life cycle model with recursive utility
An optimal consumption problem for general factor models
Constrained dynamic optimality and binomial terminal wealth
Asset Allocation with Regime-Switching: Discrete-Time Case
General equilibrium pricing with multiple dividend streams and regime switching
Maximizing survival, growth and goal reaching under borrowing constraints

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