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Optimal investment in incomplete markets when wealth may become negative
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Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incomplete markets …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Introduction to Mathematical Finance (2000)Introduction to Mathematical …The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Mean field and n‐agent games …Optimal lifetime consumption and investment under a drawdown constraint (2008)Optimal lifetime consumption …Variance-optimal hedging for processes with stationary independent increments (2006)Variance-optimal hedging for …Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis Ri…ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005)ON UTILITY‐BASED PRICING OF C…A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (2005)A PDE representation of the d…Performance of utility-based strategies for hedging basis risk (2004)Performance of utility-based …The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)Rational hedging and valuatio…Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)Necessary and sufficient cond…Real options with constant relative risk aversion (2002)Real options with constant re…Optimal Investment in Incomplete Financial Markets (2002)Optimal Investment in Incompl…On the Existence of Minimax Martingale Measures (2002)On the Existence of Minimax M…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …Optimal portfolios for logarithmic utility (2000)Optimal portfolios for logari…Optimal portfolios for exponential Lévy processes (2000)Optimal portfolios for expone…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Time-changed Lévy processes and option pricing (2003)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)Tails, Fears, and Risk Premia (2011)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)Catastrophe Risk Bonds (2000)Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation (2004)On The Validity of The Geometric Brownian Motion Assumption (2005)Arbitrage Theory in Continuous Time (1998)
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References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 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
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 2000Introduction to Mathematical Finance343 cited

Cited by

  • 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • 2003The minimal entropy martingale measures for geometric L�vy processes172 cited

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2002
Real options with constant relative risk aversion
151 cited
  • 2000Optimal portfolios for logarithmic utility145 cited
  • 2000Optimal portfolios for exponential Lévy processes138 cited
  • 2006Variance-optimal hedging for processes with stationary independent increments128 cited
  • 2019Mean field and n‐agent games for optimal investment under relative performance criteria122 cited
  • 2005ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS112 cited
  • 2003Rational hedging and valuation of integrated risks under constant absolute risk aversion109 cited
  • 2006Optimal Hedging with Basis Risk103 cited
  • 2002Optimal Investment in Incomplete Financial Markets99 cited
  • 2008Optimal lifetime consumption and investment under a drawdown constraint97 cited
  • 2004Performance of utility-based strategies for hedging basis risk83 cited
  • 2005A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets79 cited