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Exponential utility maximization under partial information
16 references·0 citing·35 second hop
Exponential utility maximization under partial information (2009)Exponential utility maximization under pa…Stochastic differential equations and applications (2008)Stochastic differential equat…Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2008)Quadratic BSDEs driven by a c…Solvability of backward stochastic differential equations with quadratic growth (2007)Solvability of backward stoch…Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis Ri…Utility maximization in incomplete markets (2005)Utility maximization in incom…An example of indifference prices under exponential preferences (2004)An example of indifference pr…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…Optimal Portfolio in Partially Observed Stochastic Volatility Models (2001)Optimal Portfolio in Partiall…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…Optimal trading strategy for an investor: the case of partial information (1998)Optimal trading strategy for …Continuous Exponential Martingales and BMO (1994)Continuous Exponential Martin…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …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)Optimum consumption and portfolio rules in a continuous-time model (1971)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Inf-convolution of risk measures and optimal risk transfer (2005)BSDE with quadratic growth and unbounded terminal value (2006)Quadratic BSDEs with convex generators and unbounded terminal conditions (2007)Optimal replication of contingent claims under transaction costs (1989)Convex measures of risk and trading constraints (2002)Dynamic exponential utility indifference valuation (2005)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The cumulant process and Esscher's change of measure (2002)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)Brownian Motion and Stochastic Calculus (2007)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)Time-changed Lévy processes and option pricing (2003)
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References

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  • 2008Stochastic differential equations and applications4,595 cited
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  • 2007Solvability of backward stochastic differential equations with quadratic growth186 cited
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  • 2006Optimal Hedging with Basis Risk103 cited

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2001
Optimal Portfolio in Partially Observed Stochastic Volatility Models
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