Pages that link to "Item:Q1176681"
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The following pages link to Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (Q1176681):
Displayed 50 items.
- Pricing a nontradeable asset and its derivatives. (Q703158) (← links)
- Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs (Q816360) (← links)
- The mean-variance investment problem in a constrained financial market (Q859607) (← links)
- A geometric approach to multiperiod mean variance optimization of assets and liabilities (Q951516) (← links)
- Utility maximization under a shortfall risk constraint (Q952687) (← links)
- Explicit solutions to an optimal portfolio choice problem with stochastic income (Q956429) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Optimal consumption choices for a `large' investor (Q1128528) (← links)
- Effects of financial innovations on market volatility when beliefs are heterogeneous (Q1128635) (← links)
- Optimal consumption and arbitrage in incomplete, finite state security markets (Q1313172) (← links)
- Continuous-time security pricing. A utility gradient approach (Q1322708) (← links)
- Labor income, borrowing constraints, and equilibrium asset prices (Q1341465) (← links)
- Equilibrium asset prices and exchange rates (Q1349762) (← links)
- Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth (Q1350471) (← links)
- Duality and liquidity constraints under uncertainty (Q1350480) (← links)
- On martingale measures when asset returns have unpredictable jumps (Q1363465) (← links)
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients (Q1379951) (← links)
- Optimal consumption and portfolio choice with borrowing constraints (Q1385278) (← links)
- Hedging in incomplete markets with HARA utility (Q1391763) (← links)
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (Q1429115) (← links)
- Optimal consumption from investment and random endowment in incomplete semimartingale markets. (Q1433880) (← links)
- Rational equilibrium asset-pricing bubbles in continuous trading models (Q1566903) (← links)
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets (Q1578577) (← links)
- Maximizing the probability of a perfect hedge (Q1578595) (← links)
- Optimal trading strategy for an investor: the case of partial information (Q1805777) (← links)
- Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. (Q1867770) (← links)
- A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
- Optimal portfolio in partially observed stochastic volatility models. (Q1872462) (← links)
- Optimal portfolios for logarithmic utility. (Q1877521) (← links)
- Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
- Optimal investment with random endowments in incomplete markets. (Q1879894) (← links)
- Stochastic optimization under constraints. (Q1888753) (← links)
- Utility maximization with partial information (Q1890699) (← links)
- Synthetic replication of American contingent claims when portfolios are constrained (Q1890718) (← links)
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation. (Q1972341) (← links)
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market (Q1972345) (← links)
- Optimal risk-sharing with effort and project choice (Q2370508) (← links)
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control (Q2464235) (← links)
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (Q2485813) (← links)
- Multiperiod portfolio optimization with terminal liability: bounds for the convex case (Q2574057) (← links)
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (Q2574608) (← links)
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS (Q3126234) (← links)
- EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL<sup>1</sup> (Q4226863) (← links)
- A Note On Utility Maximization Under Partial Observations<sup>1</sup> (Q4345910) (← links)
- Optimal Consumption‐Portfolio Policies With Habit Formation<sup>1</sup> (Q4345934) (← links)
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing (Q4542189) (← links)
- On the Existence of Minimax Martingale Measures (Q4548067) (← links)
- Optimization of Utility for “Larger Investor” with Anticipation (Q4799711) (← links)
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956) (← links)
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing (Q5505153) (← links)