Optimal consumption choices for a `large' investor
From MaRDI portal
(Redirected from Publication:1128528)
Recommendations
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimization of Utility for “Larger Investor” with Anticipation
- Optimal consumption choices with anticipation: Methods of martingale
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption-Investment Models with Constraints
Cites work
- 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 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 193660 (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?)
- 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
- 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
- Labor income, borrowing constraints, and equilibrium asset prices
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic Differential Utility
Cited in
(66)- The impact on market outcomes of the portfolio selection of large equity investors
- Recursive utility optimization with concave coefficients
- Numerical approach to asset pricing models with stochastic differential utility
- Option hedging by an influential informed investor
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- Optimal insurance demand under marked point processes shocks.
- A concise characterization of optimal consumption with logarithmic preferences
- A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Near-optimal asset allocation in financial markets with trading constraints
- Maximizing the probability of a perfect hedge
- Equilibrium effects of intraday order-splitting benchmarks
- Consumption/investment problem when the investment opportunity set can be enlarged by information gathering
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Optimal risk-sharing with effort and project choice
- Recursive utility maximization for terminal wealth under partial information
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- Option pricing with an illiquid underlying asset market
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps
- Nonlinear taxation, tax-arbitrage and equilibrium asset prices
- Special issue: Arbitrage and control problems in finance
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- The optimal portfolio selection model under \(g\)-expectation
- Portfolio optimization for a large investor controlling market sentiment under partial information
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Portfolio optimization for a large investor under partial information and price impact
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- Maximizing survival, growth and goal reaching under borrowing constraints
- Conjugate duality in problems of constrained utility maximization
- On a PDE arising in one-dimensional stochastic control problems
- Maximum principle for stochastic control of SDEs with measurable drifts
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
- Portfolio choice under transitory price impact
- A market model with medium/long-term effects due to an insider
- FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS
- Large traders and illiquid options: hedging vs. manipulation
- Stochastic growth: a duality approach.
- Bid-Ask Spread Modelling, a Perturbation Approach
- Price impact in Nash equilibria
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Optimal consumption and investment for a large investor: an intensity-based control framework
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Business-cycle pattern of asset returns: a general equilibrium explanation
- Learning about latent dynamic trading demand
- Multiscale asymptotic analysis for portfolio optimization under stochastic environment
- Stochastic optimization under constraints.
- Minimizing shortfall risk and applications to finance and insurance problems
- Quadratic hedging in an incomplete market derived by an influential informed investor
- Optimization of Utility for “Larger Investor” with Anticipation
- Kyle equilibrium under random price pressure
- Price impact equilibrium with transaction costs and TWAP trading
- A model of optimal portfolio selection under liquidity risk and price impact
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
- Market Influence of Portfolio Optimizers
- EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
- Arbitrage and control problems in finance. A presentation
- Large Investors, takeovers, and the rule of law
- Nash equilibria for relative investors with (non)linear price impact
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- Recursive stochastic \(H_{2}/H_{\infty}\) control problem for delay systems involving continuous and impulse controls
This page was built for publication: Optimal consumption choices for a `large' investor
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1128528)
