OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION

DOI10.1142/S0219024905003086MaRDI QIDQ5462702zbMATH OpenOpenAlexFDO

Authors Daheng Peng, Maoan Han

Publication date 3 August 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024905003086

zbMATH Keywords

consumptionContingent claimpayoff functionpreference structureutility

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
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• Utility maximization with partial information

Cited in

(6)

• Optimal contingent claims.
• Optimal consumption under uncertainty, liquidity constraints, and bounded rationality
• On optimal investment and subexponential claims
• Optimal consumption choices with anticipation: Methods of martingale
• scientific article; zbMATH DE number 1985272 (Why is no real title available?)
• Optimal claims with fixed payoff structure

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