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Dual formulation of the utility maximization problem: The case of nonsmooth utility
16 references·4 citing·36 second hop
Dual formulation of the utility maximization problem: The case of nonsmooth utility (2004)Dual formulation of the utility maximizat…Optimal investment with random endowments in incomplete markets (2004)Optimal investment with rando…Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)Necessary and sufficient cond…Duality in constrained optimal investment and consumption problems: a synthesis (2003)Duality in constrained optima…Utility maximization on the real line under proportional transaction costs (2002)Utility maximization on the r…Utility based optimal hedging in incomplete markets (2002)Utility based optimal hedging…On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper (2002)On the optimal portfolio for …Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…Dual Formulation of the Utility Maximization Problem Under Transaction Costs (2001)Dual Formulation of the Utili…Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets (2000)Minimizing Expected Loss of H…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …On dynamic measures of risk (1999)On dynamic measures of riskThe fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Portfolio optimization under convex incentive schemes (2014)Portfolio optimization under …Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems (2011)Smooth Value Functions for a …Optimal static-dynamic hedges for exotic options under convex risk measures (2009)Optimal static-dynamic hedges…Modeling Anticipations on Financial Markets (2003)Modeling Anticipations on Fin…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Coherent Measures of Risk (1999)Actuarial versus Financial Pricing of Insurance (2000)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Variance-optimal hedging for processes with stationary independent increments (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)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)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)On the Existence of Minimax Martingale Measures (2002)The arbitrage theory of capital asset pricing (1976)ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005)Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006)Portfolio choice under dynamic investment performance criteria (2009)A general version of the fundamental theorem of asset pricing (1994)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The cumulant process and Esscher's change of measure (2002)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2006)OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2013)Capital market equilibrium in a mean-lower partial moment framework (1977)Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices (2000)Portfolio management with heuristic optimization (2005)CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2009)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)
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References

  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
  • 1999On dynamic measures of risk184 cited
  • 2004Optimal investment with random endowments in incomplete markets132 cited
  • 2002On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper123 cited
  • 2000Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets95 cited
  • 2001Dual Formulation of the Utility Maximization Problem Under Transaction Costs83 cited
  • 2003Duality in constrained optimal investment and consumption problems: a synthesis68 cited
  • 2002Utility based optimal hedging in incomplete markets

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53 cited
  • 2002Utility maximization on the real line under proportional transaction costs50 cited
  • Cited by

    • 2011Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems42 cited
    • 2014Portfolio optimization under convex incentive schemes37 cited
    • 2003Modeling Anticipations on Financial Markets37 cited
    • 2009Optimal static-dynamic hedges for exotic options under convex risk measures27 cited