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Martingale and Duality Methods for Utility Maximization in an Incomplete Market
8 references·16 citing·33 second hop
Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Methods for Utilit…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…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 …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Uncertainty averse preferences (2011)Uncertainty averse preferencesThe numéraire portfolio in semimartingale financial models (2007)The numéraire portfolio in se…Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated (2007)Portfolio Choice over the Lif…Optimal Portfolio Choice under Loss Aversion (2004)Optimal Portfolio Choice unde…Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem (2003)Optimal Contracts in a Contin…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…The cumulant process and Esscher's change of measure (2002)The cumulant process and Essc…Dynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation unde…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…Utility Maximization with Discretionary Stopping (2000)Utility Maximization with Dis…An Equilibrium Model with Restricted Stock Market Participation (1998)An Equilibrium Model with Res…Hedging in incomplete markets with HARA utility (1997)Hedging in incomplete markets…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Continuous-time security pricing (1994)Continuous-time security pric…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…The Pricing of Options and Corporate Liabilities (1973)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)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)Who Should Buy Long-Term Bonds? (2001)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)A Guided Tour through Quadratic Hedging Approaches (2010)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)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)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited

Cited by

  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1998An Equilibrium Model with Restricted Stock Market Participation591 cited
  • 2007Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated466 cited
  • 2004Optimal Portfolio Choice under Loss Aversion412 cited
  • 2002Dynamic Asset Allocation under Inflation411 cited
  • 2001

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
382 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 2011Uncertainty averse preferences262 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 1997Hedging in incomplete markets with HARA utility246 cited
  • 2003Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem242 cited
  • 1994Continuous-time security pricing241 cited
  • 2000Utility Maximization with Discretionary Stopping235 cited