Constrained nonsmooth utility maximization without quadratic inf convolution
DOI10.1016/J.SPA.2008.08.002zbMATH Open1159.93363OpenAlexW2145279068MaRDI QIDQ1016629FDOQ1016629
Authors: Nicholas Westray, Harry Zheng 
Publication date: 6 May 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2008.08.002
Recommendations
Auctions, bargaining, bidding and selling, and other market models (91B26) Nonsmooth analysis (49J52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (11)
- Portfolio optimization under convex incentive schemes
- Smooth value functions for a class of nonsmooth utility maximization problems
- Risk management under weighted limited expected loss
- Constrained nonsmooth utility maximization on the positive real line
- An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon
- Behavioral portfolio selection: asymptotics and stability along a sequence of models
- On utility maximization under convex portfolio constraints
- Recursive utility optimization with concave coefficients
- Utility Maximization Under Trading Constraints with Discontinuous Utility
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Convergence in the Semimartingale Topology and Constrained Portfolios
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