Optional decompositions under constraints
From MaRDI portal
Publication:1365848
DOI10.1007/s004400050122zbMath0882.60063OpenAlexW1983652428MaRDI QIDQ1365848
Publication date: 9 September 1997
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4466
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)
Related Items
Minimizing shortfall risk and applications to finance and insurance problems ⋮ Optimal consumption choice with intertemporal substitution ⋮ Strong supermartingales and limits of nonnegative martingales ⋮ Laws of large numbers under model uncertainty with an application to \(m\)-dependent random variables ⋮ Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Optimal investment with random endowments in incomplete markets. ⋮ Stochastic optimization under constraints. ⋮ Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model ⋮ Robust pricing-hedging dualities in continuous time ⋮ A Stochastic Target Approach for P&L Matching Problems ⋮ On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ On representations of the set of supermartingale measures and applications in continuous time ⋮ Scaling limits for super-replication with transient price impact ⋮ Unnamed Item ⋮ Robust utility maximization in terms of supermartingale measures ⋮ The existence of dominating local martingale measures ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ Duality for optimal consumption with randomly terminating income ⋮ DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES ⋮ On the super-replicating approach when trading a derivative is limited ⋮ Entropic Optimal Planning for Path-Dependent Mean Field Games ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Convex duality for partial hedging of American options: continuous price processes ⋮ On the optional and orthogonal decompositions of supermartingales and applications ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ On utility maximization under convex portfolio constraints ⋮ On the optional and orthogonal decompositions of a class of semimartingales ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Super-replication price: it can be ok ⋮ The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions ⋮ A supermartingale relation for multivariate risk measures ⋮ Robust optimization of consumption with random endowment ⋮ Optimal consumption from investment and random endowment in incomplete semimartingale markets. ⋮ The efficient hedging problem for American options ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ Arbitrage opportunities in diverse markets via a non-equivalent measure change ⋮ Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model ⋮ Martingale optimal transport in the Skorokhod space ⋮ Pricing without no-arbitrage condition in discrete time ⋮ The numéraire portfolio in semimartingale financial models ⋮ Game approach to the optimal stopping problem† ⋮ Asymptotic pricing in large financial markets ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ Tightness and duality of martingale transport on the Skorokhod space ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ Hedging costs for two large investors ⋮ Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule ⋮ On dynamic programming equations for utility indifference pricing under delta constraints ⋮ Optimal portfolios in Lévy markets under state-dependent bounded utility functions ⋮ Long-term optimal portfolios with floor ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ On the semimartingale property of discounted asset-price processes ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ Expected utility maximization problem under state constraints and model uncertainty ⋮ A characterization of the set of local martingale measures ⋮ Dynamic trading under integer constraints ⋮ On the dual problem of utility maximization in incomplete markets ⋮ The Robust Superreplication Problem: A Dynamic Approach ⋮ Robust superhedging with jumps and diffusion ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ PORTFOLIO CHOICE VIA QUANTILES ⋮ Constrained nonsmooth utility maximization without quadratic inf convolution ⋮ Convergence in the Semimartingale Topology and Constrained Portfolios ⋮ No Arbitrage Theory for Bond Markets ⋮ Pricing with non-smooth utility function ⋮ Sublinear price functionals under portfolio constraints ⋮ The asymptotic elasticity of utility functions and optimal investment in incomplete markets ⋮ Optimal insurance demand under marked point processes shocks. ⋮ Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk ⋮ Stability of the Indirect Utility Process ⋮ A dual characterization of self-generation and exponential forward performances ⋮ Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan ⋮ Risk Measures and Robust Optimization Problems ⋮ Duality for optimal consumption under no unbounded profit with bounded risk ⋮ The multi-dimensional super-replication problem under gamma constraints ⋮ Optimal stopping under model uncertainty and the regularity of lower Snell envelopes ⋮ Robust utility maximization under convex portfolio constraints ⋮ Constrained nonsmooth utility maximization on the positive real line ⋮ Model-independent superhedging under portfolio constraints ⋮ Superreplication when trading at market indifference prices
