SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimal Investment in Incomplete Financial Markets · Study

ChapterShelves

ChapterOptimal Investment in Incomplete Financial Markets

Walter Schachermayer B2002

Chapter2002

Optimal Investment in Incomplete Financial Markets

Walter Schachermayer B

99 citations·0/0 files stored·Springer finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 99 citations exist upstream.

References

1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1981Martingales and stochastic integrals in the theory of continuous trading 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1991Continuous-Time Finance.1969Lifetime Portfolio Selection By Dynamic Stochastic Programming 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)

Cited by

2005Optimal Investments for Robust Utility Functionals in Complete Market Models 2004Pricing derivatives of American and game type in incomplete markets 2004Wealth-path dependent utility maximization in incomplete markets 2002Utility-Based Derivative Pricing in Incomplete Markets 2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk 2002

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2002Utility-Based Derivative Pricing in Incomplete Marketschapter · 24 shared references 2001Rational Hedging and Valuation with Utility-Based Preferencesthesis · 22 shared references 2002Derivative pricing based on local utility maximizationarticle · 17 shared references 2005Utility maximization in incomplete markets for unbounded processesarticle · 16 shared references 2003Optimal consumption from investment and random endowment in incomplete semimartingale marketsarticle · 15 shared references 2000Optimal portfolios for logarithmic utilityarticle · 14 shared references

Details

Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations99

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-3-662-12429-1_20

openalex_workW1559833074

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Utility based optimal hedging in incomplete markets

2005Optimal investment with derivative securities

2011Modelling Non-Monotone Risk Aversion Using SAHARA Utility Functions