scientific article; zbMATH DE number 1985274
From MaRDI portal
Publication:4429138
Recommendations
Cited in
(19)- Optimal investment and consumption when allowing terminal debt
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Duality for optimal consumption under no unbounded profit with bounded risk
- Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems
- Near-optimal asset allocation in financial markets with trading constraints
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Constrained nonsmooth utility maximization on the positive real line
- Optimization problem under change of regime of interest rate
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- For Every Answer There Are Two Questions
- Convex duality in constrained mean-variance portfolio optimization
- An optimal consumption problem for general factor models
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
- A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- Duality for optimal consumption with randomly terminating income
- On a PDE arising in one-dimensional stochastic control problems
- Relative wealth concerns with partial information and heterogeneous priors
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4429138)