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Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
9 references·2 citing·40 second hop
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems (2011)Smooth Value Functions for a Class of Non…Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Dual formulation of the utility maximization problem: The case of nonsmooth utility (2004)Dual formulation of the utili…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Dual Formulation of the Utility Maximization Problem Under Transaction Costs (2001)Dual Formulation of the Utili…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…A Duality Method for Optimal Consumption and Investment Under Short-Selling Prohibition. II. Constant Market Coefficients (1992)A Duality Method for Optimal …Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation (2015)Utility maximization with cur…Turnpike property and convergence rate for an investment model with general utility functions (2014)Turnpike property and converg…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Optimal Investment with Costly Reversibility (1996)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Optimal trading strategy and supply/demand dynamics (2012)Optimal replication of contingent claims under transaction costs (1989)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)Modeling Anticipations on Financial Markets (2003)Optimal static-dynamic hedges for exotic options under convex risk measures (2009)Portfolio optimization under convex incentive schemes (2014)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Utility maximization on the real line under proportional transaction costs (2002)Utility maximization with a given pricing measure when the utility is not necessarily concave (2013)Duality theory for portfolio optimisation under transaction costs (2016)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities (2001)Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling (2016)Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance (2018)
this work references cited by second hop

References

  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,041 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 2001Dual Formulation of the Utility Maximization Problem Under Transaction Costs83 cited
  • 1992A Duality Method for Optimal Consumption and Investment Under Short-Selling Prohibition. II. Constant Market Coefficients57 cited
  • 2004Dual formulation of the utility maximization problem: The case of nonsmooth utility44 cited

Cited by

  • 2014Turnpike property and convergence rate for an investment model with general utility functions33 cited
  • 2015Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation24 cited

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