Optimal portfolio choice in a binomial-tree and its convergence
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Cites work
- Asset demands and consumption with longevity risk
- Continuity of utility maximization under weak convergence
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Convergence of binomial tree method for American options
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model
- Dynamic mean-risk optimization in a binomial model
- Optimal consumption and Slutsky equation with Epstein-Zin type preference
- Optimal consumption-portfolio policies: A convergence from discrete to continuous time models
- Portfolio management in the binomial model: conditions for outperforming benchmarks
- The pricing of options and corporate liabilities
- The rate of return on everything, 1870--2015
- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
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