State-dependent utilities and incomplete markets

DOI10.1155/2013/359701MaRDI QIDQ459808zbMATH OpenOpenAlexWikidataFDO

Authors Jaime A. Londoño

Publication date 13 October 2014

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2013/359701

Mathematics Subject Classification ID

Random fields (60G60) Auctions, bargaining, bidding and selling, and other market models (91B26) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3816641 (Why is no real title available?)
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A More General Valuation and Arbitrage Theory for Itô Processes
• An Intertemporal Capital Asset Pricing Model
• An Intertemporal General Equilibrium Model of Asset Prices
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• Optimal investment with random endowments in incomplete markets.
• Optimum consumption and portfolio rules in a continuous-time model
• State tameness: a new approach for credit constrains
• State-Dependent Utility
• Utility maximization in incomplete markets with random endowment

Cited in

(4)

• States and markets: The advantage of an early start
• State-dependent SSB utility
• Duesenberry equilibrium and heterogenous agents
• Living without state-independence of utilities

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