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ArticleStochastic optimization under constraints

M. Mnif2001

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Articlebronze2001

Stochastic optimization under constraints

M. Mnif · Huyên Pham

35 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

2007Brownian Motion and Stochastic Calculus 1971Optimum consumption and portfolio rules in a continuous-time model 1991Brownian motion and stochastic calculus 1981Point Processes and Queues 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

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2003Optimal consumption from investment and random endowment in incomplete semimartingale marketsarticle · 12 shared references 2006Dynamic Portfolio Choice and Risk Aversionpreprint · 12 shared references 2002Minimizing Shortfall Risk and Applications to Finance and Insurance Problemsarticle · 12 shared references 2002Utility-Based Derivative Pricing in Incomplete Marketschapter · 11 shared references 2008OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATIONarticle · 10 shared references 2001A dynamic maximum principle for the optimization of recursive utilities under constraintsarticle · 9 shared references

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Year2001

Typearticle

Published2001-05-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4149(00)00089-2

openalex_workW2074284698

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