Pages that link to "Item:Q5942933"
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The following pages link to A solution approach to valuation with unhedgeable risks (Q5942933):
Displayed 50 items.
- Utility-based hedging and pricing with a nontraded asset for jump processes (Q424380) (← links)
- Abstract, classic, and explicit turnpikes (Q471171) (← links)
- A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities (Q475326) (← links)
- Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
- On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (Q538323) (← links)
- Utility maximization in models with conditionally independent increments (Q614120) (← links)
- A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
- Utility indifference valuation for jump risky assets (Q651335) (← links)
- Portfolio optimization for a large investor under partial information and price impact (Q684140) (← links)
- Dynamic valuation of options on non-traded assets and trading strategies (Q741862) (← links)
- Portfolio optimization models on infinite-time horizon (Q819340) (← links)
- How to invest optimally in corporate bonds: a reduced-form approach (Q844585) (← links)
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach (Q858428) (← links)
- Characterisation of optimal dual measures via distortion (Q882491) (← links)
- Cyclical risk exposure of pension funds: a theoretical framework (Q882873) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670) (← links)
- The role of longevity bonds in optimal portfolios (Q939371) (← links)
- Explicit solutions to an optimal portfolio choice problem with stochastic income (Q956429) (← links)
- Stochastic control methods: Hedging in a market described by pure jump processes (Q983684) (← links)
- Portfolio selection in stochastic markets with exponential utility functions (Q1026576) (← links)
- Multiscale estimation of processes related to the fractional Black-Scholes equation (Q1424648) (← links)
- Optimal investment and risk control for an insurer with stochastic factor (Q1728224) (← links)
- Optimal portfolio management in a modified constant elasticity of variance model (Q1742187) (← links)
- Stochastic distortion and its transformed copula (Q1742719) (← links)
- Real options with constant relative risk aversion (Q1853198) (← links)
- HARA frontiers of optimal portfolios in stochastic markets (Q1926829) (← links)
- The opportunity process for optimal consumption and investment with power utility (Q1932536) (← links)
- Optimal consumption and investment for markets with random coefficients (Q1945049) (← links)
- Neural networks-based backward scheme for fully nonlinear PDEs (Q2022970) (← links)
- Martingale Schrödinger bridges and optimal semistatic portfolios (Q2111249) (← links)
- Robust optimal investment problem with delay under Heston's model (Q2152268) (← links)
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire (Q2182639) (← links)
- Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem (Q2211346) (← links)
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (Q2271730) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- Pricing and hedging in incomplete markets with model uncertainty (Q2286877) (← links)
- Power penalty method for solving HJB equations arising from finance (Q2288647) (← links)
- Optimal investment with derivatives and pricing in an incomplete market (Q2291996) (← links)
- Consumption in incomplete markets (Q2308177) (← links)
- Portfolio optimization for assets with stochastic yields and stochastic volatility (Q2317849) (← links)
- Optimal dynamic basis trading (Q2334405) (← links)
- Portfolios and risk premia for the long run (Q2428051) (← links)
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model (Q2444720) (← links)
- An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments (Q2445986) (← links)
- Explicit solutions of some utility maximization problems in incomplete markets (Q2485800) (← links)
- Portfolio optimization in stochastic markets (Q2500788) (← links)
- Portfolio problems stopping at first hitting time with application to default risk (Q2500790) (← links)
- Consumption and investment with interest rate risk (Q2633849) (← links)
- The minimal entropy measure and an Esscher transform in an incomplete market model (Q2643378) (← links)