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On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets

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References

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1998Mean‐Variance Hedging and Numéraire179 cited
2006Sensitivity analysis of utility-based prices and risk-tolerance wealth processes87 cited
1992A Martingale Representation Result and an Application to Incomplete Financial Markets82 cited

Cited by

2015OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS39 cited
2013The General Structure of Optimal Investment and Consumption with Small Transaction Costs35 cited
2013On the closure in the Emery topology of semimartingale wealth-process sets30 cited
2008Backward stochastic partial differential equations related to utility maximization and hedging25 cited

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