scientific article; zbMATH DE number 5263208
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Publication:5457450
zbMATH Open1151.91052MaRDI QIDQ5457450FDOQ5457450
Authors: Mark H. A. Davis 
Publication date: 14 April 2008
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dynamic programmingdualityincomplete marketstochastic controlparameter uncertaintyoptimal investmentutility indifference pricingunhedgeable risk
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20)
Cited In (10)
- Optimal investment and contingent claim valuation in illiquid markets
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- Implications of parameter uncertainty on option prices
- A solution approach to valuation with unhedgeable risks
- Maximizing survival, growth and goal reaching under borrowing constraints
- Valuing risky income streams in incomplete markets
- Investment and financing in incomplete markets
- Tractable valuations under uncertainty
- Partially informed investors: hedging in an incomplete market with default
- Optimal Hedging and Valuation of Nontraded Assets
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