Erratum to: ``Utility maximization in incomplete markets with random endowment

DOI10.1007/S00780-017-0331-9MaRDI QIDQ2364538zbMATH OpenOpenAlexFDO

Authors Jakša Cvitanić, Hui Wang, Walter Schachermayer

Publication date 21 July 2017

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL http://link.springer.com/10.1007/s00780-017-0331-9

zbMATH Keywords

dualityincomplete marketsrandom endowmentutility maximization

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets with random endowment

Cited in

(11)

• Corrigendum to: ``Market equilibrium with heterogeneous resursive-utility-maximizing agents
• Minimizing shortfall risk and applications to finance and insurance problems
• Continuity of utility maximization under weak convergence
• Expected utility maximization problem under state constraints and model uncertainty
• Corrigendum to ``A new characterization of comonotonicity and its application in behavioral finance.
• Erratum: ``Convex duality in stochastic optimization and mathematical finance
• Erratum to: ``The robust superreplication problem: a dynamic approach
• Duality for optimal consumption with randomly terminating income
• ERRATUM: OPTIMAL CHECKS AND BALANCES UNDER POLICY UNCERTAINTY
• Conditional Davis pricing
• Erratum: Perpetuities with thin tails revisited

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