scientific article; zbMATH DE number 2174800
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Publication:4682148
zbMATH Open1104.91042MaRDI QIDQ4682148FDOQ4682148
Authors: Walter Schachermayer 
Publication date: 10 June 2005
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- Optimal portfolio selection and compression in an incomplete market
- Optimal portfolio in partially observed stochastic volatility models.
- Portfolio selection under incomplete information
- Portfolio optimization in a default model under full/partial information
Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Cited In (9)
- Strong supermartingales and limits of nonnegative martingales
- Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
- Duality theory for portfolio optimisation under transaction costs
- Risk aversion for nonsmooth utility functions
- Bonus systems in an open portfolio.
- Super-replication and utility maximization in large financial markets
- Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
- On the existence of shadow prices for optimal investment with random endowment
- On utility maximization without passing by the dual problem
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