Pages that link to "Item:Q1872427"
From MaRDI portal
The following pages link to Optimal investment in incomplete markets when wealth may become negative. (Q1872427):
Displaying 50 items.
- Stability of utility maximization in nonequivalent markets (Q287676) (← links)
- Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment (Q457188) (← links)
- Utility maximization problem in the case of unbounded endowment (Q469080) (← links)
- Optimal portfolio choice for a behavioural investor in continuous-time markets (Q470664) (← links)
- Existence of solutions in non-convex dynamic programming and optimal investment (Q513744) (← links)
- On utility maximization in discrete-time financial market models (Q558678) (← links)
- A note on utility maximization with unbounded random endowment (Q633829) (← links)
- Uncertainty averse preferences (Q634503) (← links)
- Risk-averse asymptotics for reservation prices (Q635966) (← links)
- Large traders and illiquid options: hedging vs. manipulation (Q658638) (← links)
- Systemic optimal risk transfer equilibrium (Q829331) (← links)
- From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
- Characterisation of optimal dual measures via distortion (Q882491) (← links)
- Geometric arbitrage theory and market dynamics (Q888763) (← links)
- A unified framework for utility maximization problems: An Orlicz space approach (Q930672) (← links)
- Convergence of utility indifference prices to the superreplication price: the whole real line case (Q996718) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets (Q1007099) (← links)
- Constrained nonsmooth utility maximization without quadratic inf convolution (Q1016629) (← links)
- A dual characterization of self-generation and exponential forward performances (Q1049561) (← links)
- Rational hedging and valuation of integrated risks under constant absolute risk aversion. (Q1413332) (← links)
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. (Q1413354) (← links)
- A stability result for the HARA class with stochastic interest rates. (Q1423345) (← links)
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (Q1429115) (← links)
- Kim and Omberg revisited: the duality approach (Q1657919) (← links)
- Multiple-priors optimal investment in discrete time for unbounded utility function (Q1661573) (← links)
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets (Q1687373) (← links)
- Stability of Radner equilibria with respect to small frictions (Q1709608) (← links)
- On the super replication price of unbounded claims (Q1769420) (← links)
- Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
- Dynamically consistent investment under model uncertainty: the robust forward criteria (Q1788824) (← links)
- Real options with constant relative risk aversion (Q1853198) (← links)
- Utility based optimal hedging in incomplete markets. (Q1872394) (← links)
- Optimal portfolios for logarithmic utility. (Q1877521) (← links)
- Utility maximizing entropy and the second law of thermodynamics. (Q1879820) (← links)
- Dual formulation of the utility maximization problem: the case of nonsmooth utility. (Q1879886) (← links)
- On admissible strategies in robust utility maximization (Q1938976) (← links)
- Robust utility maximisation in markets with transaction costs (Q1999599) (← links)
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes (Q2022765) (← links)
- Martingale Schrödinger bridges and optimal semistatic portfolios (Q2111249) (← links)
- Characterization of fully coupled FBSDE in terms of portfolio optimization (Q2184583) (← links)
- Trading with small nonlinear price impact (Q2192738) (← links)
- Near-optimal asset allocation in financial markets with trading constraints (Q2242286) (← links)
- In which financial markets do mutual fund theorems hold true? (Q2271725) (← links)
- On fairness of systemic risk measures (Q2308182) (← links)
- Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem (Q2317101) (← links)
- Market viability and martingale measures under partial information (Q2340293) (← links)
- Risk aversion asymptotics for power utility maximization (Q2428507) (← links)
- Portfolio optimization in discontinuous markets under incomplete information (Q2461283) (← links)
- The supermartingale property of the optimal wealth process for general semimartingales (Q2463714) (← links)
