Nonmyopic optimal portfolios in viable markets
From MaRDI portal
Publication:2257043
DOI10.1007/s11579-013-0109-6zbMath1306.91123OpenAlexW3125422660MaRDI QIDQ2257043
Jakša Cvitanić, Semyon Malamud
Publication date: 23 February 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://resolver.caltech.edu/CaltechAUTHORS:20170622-142956786
Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Heterogeneous agent models (91B69)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Heterogeneity and option pricing
- Long run forward rates and long yields of bonds and options in heterogeneous equilibria
- Diffusion equation techniques in stochastic monotonicity and positive correlations
- Consumption-portfolio policies: an inverse optimal problem
- Horizon length and portfolio risk
- The integrability problem of asset prices
- An extension of Milleron, Mitjushin and Polterovich's result
- Representative consumer's risk aversion and efficient risk-sharing rules
- Wealth Inequality and Asset Pricing
- Endogenous Completeness of Diffusion Driven Equilibrium Markets
- Financial Markets Equilibrium with Heterogeneous Agents*
- Natural Selection in Financial Markets: Does It Work?
- Relative Extinction of Heterogeneous Agents
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Proper Risk Aversion
- The Present-Value Relation: Tests Based on Implied Variance Bounds
- Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
- Asset Prices in an Exchange Economy with Habit Formation
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- An Intertemporal Capital Asset Pricing Model
- Risk Vulnerability and the Tempering Effect of Background Risk
- Risk Aversion in the Small and in the Large
- Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- Uniqueness of Arrow-Debreu and Arrow-Radner equilibrium when utilities are additively separable
This page was built for publication: Nonmyopic optimal portfolios in viable markets