Utility maximization with a given pricing measure when the utility is not necessarily concave
From MaRDI portal
(Redirected from Publication:367382)
Recommendations
- Maximization of nonconcave utility functions in discrete-time financial market models
- Duality theory under model uncertainty for non-concave utility functions
- On utility maximization without passing by the dual problem
- On utility maximization under convex portfolio constraints
- Utility maximization in incomplete markets
Cites work
- A General Approach to Lower Semicontinuity and Lower Closure in Optimal Control Theory
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- A note on the differentiability of conjugate functions
- A variational problem arising in economics
- Advances in prospect theory: cumulative representation of uncertainty
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Co-monotonicity of optimal investments and the design of structured financial products
- Constrained nonsmooth utility maximization without quadratic inf convolution
- Do arbitrage-free prices come from utility maximization?
- Dual formulation of the utility maximization problem under transaction costs
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Infinite dimensional analysis. A hitchhiker's guide.
- Mathematical methods for financial markets.
- Measure preserving derivatives and the pricing kernel puzzle
- Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
- Myopic Loss Aversion and the Equity Premium Puzzle
- On an optimal consumption problem for \(p\)-integrable consumption plans
- Optimal Control of Favorable Games with a Time Limit
- Optimal demand for contingent claims when agents have law invariant utilities
- Optimal financial investments for non-concave utility functions
- Optimal portfolio delegation when parties have different coefficients of risk aversion
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Portfolio choice via quantiles
- Portfolio optimization under convex incentive schemes
- Relaxed utility maximization in complete markets
- State Constraints in Convex Control Problems of Bolza
- Static portfolio choice under cumulative prospect theory
- Stochastic finance. An introduction in discrete time
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Three solutions to the pricing kernel puzzle
Cited in
(39)- Optimal investments for the standard maximization problem with non-concave utility function in complete market model
- Weighted utility optimization of the participating endowment contract
- Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
- Utility of wealth with many indivisibilities
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- Portfolio optimization under convex incentive schemes
- Optimal investment problem under behavioral setting: a Lagrange duality perspective
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Maximization of nonconcave utility functions in discrete-time financial market models
- Entrepreneurial decisions on effort and project with a nonconcave objective function
- On shortfall risk minimization for game options
- Non-concave expected utility optimization with uncertain time horizon
- Non-concave portfolio optimization with average value-at-risk
- Behavioral portfolio selection: asymptotics and stability along a sequence of models
- Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models
- Optimal portfolio choice for a behavioural investor in continuous-time markets
- Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
- Minimax identity with robust utility functional for a nonconcave utility
- Utilities bounded below
- A non-calculus approach to solving the utility maximization problem using the Cobb-Douglas and CES utility function
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Maximization of an asymmetric utility function by the least squares
- A dynamic programming approach to path-dependent constrained portfolios
- Rationalizing investors' choices
- Envelope theorems in Banach lattices and asset pricing
- Non-concave utility maximisation on the positive real axis in discrete time
- Optimal consumption with loss aversion and reference to past spending maximum
- A classification approach to general s-shaped utility optimization with principals' constraints
- 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
- Skorohod's representation theorem and optimal strategies for markets with frictions
- Utility maximization under trading constraints with discontinuous utility
- The importance of dynamic risk constraints for limited liability operators
This page was built for publication: Utility maximization with a given pricing measure when the utility is not necessarily concave
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q367382)
