A computational scheme for the optimal strategy in an incomplete market

DOI10.1016/j.jedc.2006.12.006zbMath1163.93400MaRDI QIDQ1027435

Jussi Keppo, Michael G. Sullivan, Xu Meng

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.006

zbMATH Keywords

numerical methods; incomplete markets; utility maximization; endowment uncertainty

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Explicit solutions to an optimal portfolio choice problem with stochastic income
• Optimization of consumption with labor income
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Hedging in incomplete markets with HARA utility
• A complete explicit solution to the log-optimal portfolio problem.
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization with a stochastic clock and an unbounded random endowment
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Evaluating Portfolio Policies: A Duality Approach
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Utility maximization in incomplete markets with random endowment