Utility maximization with a given pricing measure when the utility is not necessarily concave
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Publication:367382
DOI10.1007/S11579-013-0093-XzbMATH Open1277.91055OpenAlexW3122008199MaRDI QIDQ367382FDOQ367382
Publication date: 13 September 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/156463/1/ZORA_NL_156463.pdf
non-convex optimizationportfolio selectionasymptotic elasticitybehavioural financenon-concave utility
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Cited In (37)
- Weighted utility optimization of the participating endowment contract
- Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Optimal investments for the standard maximization problem with non-concave utility function in complete market model
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Optimal investment problem under behavioral setting: a Lagrange duality perspective
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Portfolio optimization under convex incentive schemes
- Maximization of nonconcave utility functions in discrete-time financial market models
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Non-concave expected utility optimization with uncertain time horizon
- On shortfall risk minimization for game options
- Non-concave portfolio optimization with average value-at-risk
- A Classification Approach to General S-Shaped Utility Optimization with Principals' Constraints
- Behavioral portfolio selection: asymptotics and stability along a sequence of models
- Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions
- Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models
- Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
- Optimal portfolio choice for a behavioural investor in continuous-time markets
- Minimax identity with robust utility functional for a nonconcave utility
- A non-calculus approach to solving the utility maximization problem using the Cobb-Douglas and CES utility function
- Utilities bounded below
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function
- Maximization of an asymmetric utility function by the least squares
- Utility Maximization Under Trading Constraints with Discontinuous Utility
- A dynamic programming approach to path-dependent constrained portfolios
- Rationalizing investors' choices
- Non-concave utility maximisation on the positive real axis in discrete time
- Optimal consumption with loss aversion and reference to past spending maximum
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Existence of solutions in non-convex dynamic programming and optimal investment
- The importance of dynamic risk constraints for limited liability operators
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