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Bounds for the utility-indifference prices of non-traded assets in incomplete markets
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Bounds for the utility-indifference prices of non-traded assets in incomplete markets (2005)Bounds for the utility-indifference price…ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005)ON UTILITY‐BASED PRICING OF C…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Real options with constant relative risk aversion (2002)Real options with constant re…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Mean-variance hedging for continuous processes: New proofs and examples (1998)Mean-variance hedging for con…5 Stochastic volatility (1996)5 Stochastic volatilityInvestment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyMean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Asset Pricing Theory. (1993)Backward Stochastic Differential Equations in Finance (1997)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Putting order in risk measures (2002)Option pricing and Esscher transform under regime switching (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)The Impact of Uncertainty Shocks (2009)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)072103 (E50, M20) Option pricing by Esscher transforms (1995)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Investment and Consumption with Transaction Costs (1994)Optimal control of execution costs (1998)Capital markets research in accounting (2001)
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2005
ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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