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Along But Beyond Mean-Variance: Utility Maximization in a Semimartingale Model · Study

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PreprintAlong But Beyond Mean-Variance: Utility Maximization in a Semimartingale Model

Heli Huhtala2008

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Preprintgreen2008

Along But Beyond Mean-Variance: Utility Maximization in a Semimartingale Model

31 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2005Stochastic Integration and Differential Equations 2003Modeling and Forecasting Realized Volatility 1981Martingales and stochastic integrals in the theory of continuous trading 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process

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2008Does Hedging Tell the Full Story? Reconciling Differences in US Aggregate and Industry-Level Exchange Rate Risk Premia 2008The Signalling Hypothesis Revisited: Evidence from Foreign IPOs 2008Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy

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2001Rational Hedging and Valuation with Utility-Based Preferencesthesis · 11 shared references 2004Utility Maximisation in Incomplete Marketschapter · 10 shared references 2004Portfolio optimization in incomplete financial marketsarticle · 10 shared references 2003Optimal consumption from investment and random endowment in incomplete semimartingale marketsarticle · 9 shared references 2004Optimal investment with random endowments in incomplete marketsarticle · 9 shared references 2002Optimal Investment in Incomplete Financial Marketschapter · 9 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1104969

openalex_workW1583830487

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