Utility maximization in incomplete markets for unbounded processes
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Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Applications of functional analysis in probability theory and statistics (46N30) Duality theory (optimization) (49N15) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Utility theory (91B16) Portfolio theory (91G10)
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(45)- Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
- Constrained nonsmooth utility maximization without quadratic inf convolution
- Extending pricing rules with general risk functions
- Financial markets with a large trader
- Stability of Radner equilibria with respect to small frictions
- Wealth-path dependent utility maximization in incomplete markets
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Indifference pricing under SAHARA utility
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- On fairness of systemic risk measures
- Constrained nonsmooth utility maximization on the positive real line
- Risk aversion asymptotics for power utility maximization
- The supermartingale property of the optimal wealth process for general semimartingales
- Utility maximization in incomplete markets
- A dual representation of gain-loss hedging for European claims in discrete time
- Multivariate utility maximization with proportional transaction costs and random endowment
- Some functional analytic tools for utility maximization
- Stability of the exponential utility maximization problem with respect to preferences
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative
- Indifference price with general semimartingales
- Wealth optimization and dual problems for jump stock dynamics with stochastic factor
- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Utility-based hedging and pricing with a nontraded asset for jump processes
- Aspects concerning entropy and utility
- Skorohod's representation theorem and optimal strategies for markets with frictions
- A note on admissibility when the credit line is infinite
- UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS
- The meaning of market efficiency
- On utility maximization without passing by the dual problem
- An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
- Role of information in pricing default-sensitive contingent claims
- Risk-neutral measures and pricing for a pure jump price process
- Utility maximization under risk constraints and incomplete information for a market with a change point
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
- Utility maximization under trading constraints with discontinuous utility
- Utility maximization in incomplete markets with random endowment
- The numeraire portfolio for unbounded semimartingale
- On the dual problem of utility maximization in incomplete markets
- Recursive utility, martingales, and the asymptotic behaviour of optimal processes
- The continuous-time pre-commitment KMM problem in incomplete markets
- Systemic optimal risk transfer equilibrium
- A unified framework for utility maximization problems: An Orlicz space approach
- Stochastic control methods: Hedging in a market described by pure jump processes
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