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ArticleUtility maximization in incomplete markets with random endowment

Jakša Cvitanić2001

Article2001

Utility maximization in incomplete markets with random endowment

Jakša Cvitanić · Walter Schachermayer B · Hui Wang

229 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 1998The fundamental theorem of asset pricing for unbounded stochastic processes 1989Optimal replication of contingent claims under transaction costs 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios 1997Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income

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2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization 2002On the Existence of Minimax Martingale Measures 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets 2004Option Pricing: Valuation Models and Applications

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Year2001

Typearticle

Published2001-04-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations229

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/pl00013534

openalex_workW2071606512

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2004Optimal investment with random endowments in incomplete markets

2002Duality and martingales: a stochastic programming perspective on contingent claims

2003Rational hedging and valuation of integrated risks under constant absolute risk aversion