Relaxed utility maximization in complete markets
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Publication:3100752
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- scientific article; zbMATH DE number 2144818
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Cites work
- scientific article; zbMATH DE number 3465097 (Why is no real title available?)
- Convex analysis and nonlinear optimization. Theory and examples.
- Gradient flows in metric spaces and in the spaces of probability measures, and applications to Fokker-Planck equations with respect to log-concave measures
- Heterogeneity and option pricing
- Infinite dimensional analysis. A hitchhiker's guide.
- Integral representation of convex functions on a space of measures
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Remarks on Chacon's Biting Lemma
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
Cited in
(6)- A note on the existence of the power investor's optimizer
- Utility maximization in incomplete markets
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- On the game interpretation of a shadow price process in utility maximization problems under transaction costs
- Linear versus nonlinear allocation rules in risk sharing under financial fairness
- UTILITY MAXIMIZATION IN A LARGE MARKET
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