Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
From MaRDI portal
Publication:6131470
Recommendations
- Robust consumption portfolio optimization with stochastic differential utility
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal consumption and investment in incomplete markets with general constraints
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets
Cites work
- A Generalized Stochastic Differential Utility
- A closed-form solution for options with ambiguity about stochastic volatility
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- A generalized comparison theorem for BSDEs and its applications
- A generalized stochastic differential utility driven by \(G\)-Brownian motion
- Adapted solution of a backward stochastic differential equation
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Backward Stochastic Differential Equations in Finance
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Continuous-time security pricing. A utility gradient approach
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Martingales versus PDEs in finance: an equivalence result with examples
- Mathematical methods for financial markets.
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and investment with Epstein-Zin recursive utility
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal investment and consumption problems under correlation ambiguity
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Optimization Problems in the Theory of Continuous Trading
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Robust consumption and portfolio choice for time varying investment opportunities
- Robust consumption and portfolio policies when asset prices can jump
- Robust consumption portfolio optimization with stochastic differential utility
- Robust control and recursive utility
- Stochastic Differential Utility
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
This page was built for publication: Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131470)