SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
16 references·1 citing·38 second hop
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets (2015)Utility maximization with addictive consu…Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences (2008)Portfolio and consumption cho…Optimal investment with random endowments in incomplete markets (2004)Optimal investment with rando…Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)Optimal consumption from inve…Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)Necessary and sufficient cond…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Asset Prices in an Exchange Economy with Habit Formation (1991)Asset Prices in an Exchange E…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…The equity premium: A puzzle (1985)The equity premium: A puzzleOptimal Growth with Intertemporally Dependent Preferences (1973)Optimal Growth with Intertemp…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Consumption with Reference to Past Spending Maximum (2020)Optimal Consumption with Refe…Robust hedging of the lookback option (1998)Efficient hedging: Cost versus shortfall risk (2000)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Stochastic Integration and Differential Equations (2005)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)Martingales and stochastic integrals in the theory of continuous trading (1981)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Robust Permanent Income and Pricing (1999)Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)Discounting climate change (2008)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1973Optimal Growth with Intertemporally Dependent Preferences593 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 1991Asset Prices in an Exchange Economy with Habit Formation298 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
  • 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets177 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004
Optimal investment with random endowments in incomplete markets
132 cited
  • 2008Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences103 cited
  • Cited by

    • 2020Optimal Consumption with Reference to Past Spending Maximum32 cited