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Utility maximization in incomplete markets with random endowment
9 references·16 citing·37 second hop
Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incomplete market…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…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…Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income (1997)Optimal Consumption and Equil…Hedging in incomplete markets with HARA utility (1997)Hedging in incomplete markets…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…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…THE MEANING OF MARKET EFFICIENCY (2012)THE MEANING OF MARKET EFFICIE…Stochastic Partial Differential Equations and Portfolio Choice (2010)Stochastic Partial Differenti…Portfolio choice under dynamic investment performance criteria (2009)Portfolio choice under dynami…Pricing and Hedging Volatility Derivatives (2008)Pricing and Hedging Volatilit…Optimal risk-sharing with effort and project choice (2006)Optimal risk-sharing with eff…Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis Ri…Utility maximization in incomplete markets for unbounded processes (2005)Utility maximization in incom…Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Mod…Optimal investment with random endowments in incomplete markets (2004)Optimal investment with rando…ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)ANNIVERSARY ARTICLE: Option P…Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)Rational hedging and valuatio…Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)Optimal consumption from inve…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…Duality and martingales: a stochastic programming perspective on contingent claims (2002)Duality and martingales: a st…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …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)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)Martingales and arbitrage in multiperiod securities markets (1979)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)Calcul Stochastique et Problèmes de Martingales (1979)Hyperbolic Distributions in Finance (1995)Processes of normal inverse Gaussian type (1997)Non-parametric calibration of jump–diffusion option pricing models (2004)PORTFOLIO CHOICE VIA QUANTILES (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)Martingales and stochastic integrals in the theory of continuous trading (1981)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)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic asset allocation with stochastic income and interest rates (2010)Heterogeneity and Portfolio Choice: Theory and Evidence (2010)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)Correlation Risk and Optimal Portfolio Choice (2010)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)
this work references cited by second hop

References

  • 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
  • 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
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1997Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income277 cited
  • 1997Hedging in incomplete markets with HARA utility246 cited

Cited by

  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
  • 2002On the Existence of Minimax Martingale Measures183 cited
  • 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets177 cited
  • 2004Option Pricing: Valuation Models and Applications164 cited

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  • 2004Optimal investment with random endowments in incomplete markets132 cited
  • 2002Duality and martingales: a stochastic programming perspective on contingent claims112 cited
  • 2003Rational hedging and valuation of integrated risks under constant absolute risk aversion109 cited
  • 2009Portfolio choice under dynamic investment performance criteria107 cited
  • 2012THE MEANING OF MARKET EFFICIENCY105 cited
  • 2006Optimal Hedging with Basis Risk103 cited
  • 2002Optimal Investment in Incomplete Financial Markets99 cited
  • 2008Pricing and Hedging Volatility Derivatives98 cited
  • 2006Optimal risk-sharing with effort and project choice79 cited
  • 2005Utility maximization in incomplete markets for unbounded processes78 cited
  • 2010Stochastic Partial Differential Equations and Portfolio Choice75 cited