Optimal consumption choices for a `large' investor
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Cites work
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- A variational problem arising in financial economics
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Brownian motion and stochastic calculus
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Convex duality in constrained portfolio optimization
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Existence of Optimal Stochastic Control Laws
- Hedging contingent claims with constrained portfolios
- Hedging options for a large investor and forward-backward SDE's
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 3694880 (Why is no real title available?)
- scientific article; zbMATH DE number 3504682 (Why is no real title available?)
- scientific article; zbMATH DE number 3511076 (Why is no real title available?)
- scientific article; zbMATH DE number 1222797 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- Labor income, borrowing constraints, and equilibrium asset prices
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Probability theory. Independence, interchangeability, martingales.
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Differential Utility
Cited in
(72)- Stochastic growth: a duality approach.
- Maximizing the probability of a perfect hedge
- Optimal insurance demand under marked point processes shocks.
- The optimal portfolio selection model under \(g\)-expectation
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- Recursive utility maximization for terminal wealth under partial information
- Minimizing shortfall risk and applications to finance and insurance problems
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Stochastic optimization under constraints.
- Recursive utility optimization with concave coefficients
- Price impact equilibrium with transaction costs and TWAP trading
- The impact on market outcomes of the portfolio selection of large equity investors
- On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- Near-optimal asset allocation in financial markets with trading constraints
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Business-cycle pattern of asset returns: a general equilibrium explanation
- Kyle equilibrium under random price pressure
- Optimal risk-sharing with effort and project choice
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- A model of optimal portfolio selection under liquidity risk and price impact
- Learning about latent dynamic trading demand
- Price impact in Nash equilibria
- Optimal consumption and investment for a large investor: an intensity-based control framework
- Option hedging by an influential informed investor
- A concise characterization of optimal consumption with logarithmic preferences
- Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls
- On the strategic behavior of large investors: a mean-variance portfolio approach
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
- Market Influence of Portfolio Optimizers
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- Maximizing survival, growth and goal reaching under borrowing constraints
- Large Investors, takeovers, and the rule of law
- Optimization of Utility for “Larger Investor” with Anticipation
- Portfolio optimization for a large investor controlling market sentiment under partial information
- Multiscale asymptotic analysis for portfolio optimization under stochastic environment
- Conjugate duality in problems of constrained utility maximization
- Quadratic hedging in an incomplete market derived by an influential informed investor
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Bid-Ask Spread Modelling, a Perturbation Approach
- A market model with medium/long-term effects due to an insider
- Arbitrage and control problems in finance. A presentation
- Nonlinear taxation, tax-arbitrage and equilibrium asset prices
- Special issue: Arbitrage and control problems in finance
- On a PDE arising in one-dimensional stochastic control problems
- Portfolio choice under transitory price impact
- Maximum principle for stochastic control of SDEs with measurable drifts
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- Large traders and illiquid options: hedging vs. manipulation
- Nash equilibria for relative investors with (non)linear price impact
- Portfolio optimization for a large investor under partial information and price impact
- Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility
- Reflected BSDEs driven by G-Brownian motion with non-Lipschitz coefficients
- Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
- Asset prices when large investors interact strategically
- Learning about ambiguous long-term prospects
- Robust Nash equilibrium for asset-liability management games under money illusion and mean-reverting return
- Equilibrium effects of intraday order-splitting benchmarks
- Numerical approach to asset pricing models with stochastic differential utility
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Option pricing with an illiquid underlying asset market
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
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