SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal Portfolio in a Multiple-Priors Model
16 references·16 citing·38 second hopsampled
Optimal Portfolio in a Multiple-Priors Model (2004)Optimal Portfolio in a Multiple-Priors Mo…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Intertemporal asset pricing under knightian uncertainty (2004)Intertemporal asset pricing u…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Intertemporal Asset Pricing under Knightian Uncertainty (1994)Intertemporal Asset Pricing u…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal consumption and portfolio choice with ambiguous interest rates and volatility (2020)Optimal consumption and portf…Robust expected utility maximization with medial limits (2018)Robust expected utility maxim…Exponential utility maximization under model uncertainty for unbounded endowments (2018)Exponential utility maximizat…Dynamically consistent investment under model uncertainty: the robust forward criteria (2018)Dynamically consistent invest…Robust utility maximization for Levy processes: (2016)Robust utility maximization f…UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2014)UTILITY MAXIMIZATION UNDER MO…Robust utility maximization for a diffusion market model with misspecified coefficients (2012)Robust utility maximization f…Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (2011)Stochastic differential portf…Robust Preferences and Robust Portfolio Choice (2009)Robust Preferences and Robust…Utility maximization under a shortfall risk constraint (2008)Utility maximization under a …Robust optimal control for a consumption-investment problem (2007)Robust optimal control for a …A Stochastic Control Approach to a Robust Utility Maximization Problem (2007)A Stochastic Control Approach…Robust utility maximization in a stochastic factor model (2006)Robust utility maximization i…Robust projections in the class of martingale measures (2006)Robust projections in the cla…Risk Measures and Robust Optimization Problems (2006)Risk Measures and Robust Opti…A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2006)A control approach to robust …Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Maxmin expected utility with non-unique prior (1989)Robust Control and Model Uncertainty (2001)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Partial Differential Equations (2010)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 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
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 2004

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

Intertemporal asset pricing under knightian uncertainty
597 cited
  • 1994Intertemporal Asset Pricing under Knightian Uncertainty543 cited
  • Cited by

    • 2009Robust Preferences and Robust Portfolio Choice84 cited
    • 2007A Stochastic Control Approach to a Robust Utility Maximization Problem73 cited
    • 2006A control approach to robust utility maximization with logarithmic utility and time-consistent penalties73 cited
    • 2006Risk Measures and Robust Optimization Problems66 cited
    • 2014UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME65 cited
    • 2016Robust utility maximization for Levy processes:64 cited
    • 2006Robust utility maximization in a stochastic factor model57 cited
    • 2006Robust projections in the class of martingale measures53 cited
    • 2018Exponential utility maximization under model uncertainty for unbounded endowments48 cited
    • 2012Robust utility maximization for a diffusion market model with misspecified coefficients44 cited
    • 2007Robust optimal control for a consumption-investment problem43 cited
    • 2008Utility maximization under a shortfall risk constraint43 cited
    • 2011Stochastic differential portfolio games for an insurer in a jump-diffusion risk process41 cited
    • 2018Robust expected utility maximization with medial limits36 cited
    • 2020Optimal consumption and portfolio choice with ambiguous interest rates and volatility32 cited
    • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited