Pages that link to "Item:Q1322708"
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The following pages link to Continuous-time security pricing. A utility gradient approach (Q1322708):
Displaying 50 items.
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
- Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty (Q367371) (← links)
- First steps towards an equilibrium theory for Lévy financial markets (Q470675) (← links)
- Hidden persistent disasters and asset prices (Q481370) (← links)
- Envelope theorems in Banach lattices and asset pricing (Q496582) (← links)
- Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320) (← links)
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk (Q621759) (← links)
- Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available (Q622236) (← links)
- On the pricing of longevity-linked securities (Q659196) (← links)
- Stochastic equilibria for economies under uncertainty with intertemporal substitution (Q665710) (← links)
- Long-term real dynamic investment planning (Q784398) (← links)
- Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
- A two-person dynamic equilibrium under ambiguity (Q951358) (← links)
- On equilibrium prices in continuous time (Q972875) (← links)
- Efficient and equilibrium allocations with stochastic differential utility (Q1322710) (← links)
- Asset and commodity prices with multi-attribute durable goods (Q1351930) (← links)
- Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332) (← links)
- Non-addictive habits: optimal consumption-portfolio policies. (Q1421889) (← links)
- Efficient consumption set under recursive utility and unknown beliefs. (Q1428170) (← links)
- Explicit characterizations of financial prices with history-dependent utility (Q1602940) (← links)
- Pricing long-lived securities in dynamic endowment economies (Q1622391) (← links)
- Continuous-time smooth ambiguity preferences (Q1657303) (← links)
- On the pricing of contingent claims under constraints (Q1814741) (← links)
- A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
- Optimal consumption choice with intertemporal substitution (Q1872451) (← links)
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents (Q1932535) (← links)
- Consumption-portfolio optimization with recursive utility in incomplete markets (Q1936832) (← links)
- Optimal consumption and portfolio selection with stochastic differential utility (Q1961363) (← links)
- On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market (Q1972345) (← links)
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Q2038277) (← links)
- Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
- Expected utility maximization problem under state constraints and model uncertainty (Q2278901) (← links)
- Robust utility maximization under convex portfolio constraints (Q2348619) (← links)
- A term structure model with preferences for the timing of resolution of uncertainty (Q2365065) (← links)
- Optimal risk transfer and investment policies based upon stochastic differential utilities (Q2372259) (← links)
- Optimal consumption and portfolio choice with ambiguity and anticipation (Q2456486) (← links)
- Multifrequency jump-diffusions: An equilibrium approach (Q2469552) (← links)
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (Q2485813) (← links)
- Backward stochastic Volterra integral equations and some related problems (Q2495382) (← links)
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (Q2574608) (← links)
- Gain/loss asymmetric stochastic differential utility (Q2661667) (← links)
- LINKED RECURSIVE PREFERENCES AND OPTIMALITY (Q2788691) (← links)
- Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity (Q2799360) (← links)
- INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES (Q3523571) (← links)
- Optimal Consumption‐Portfolio Policies With Habit Formation<sup>1</sup> (Q4345934) (← links)
- Utility based pricing of contingent claims in incomplete markets (Q4483612) (← links)
- LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY (Q4563762) (← links)
- Optimal retirement time under habit persistence: what makes individuals retire early? (Q4585945) (← links)
