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POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
15 references·2 citing·39 second hop
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 2003Lévy Processes in Finance793 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 2007The numéraire portfolio in semimartingale financial models320 cited
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  • 2000Optimal portfolios for exponential Lévy processes138 cited
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  • 2007Minimal fq-martingale measures for exponential Lévy processes66 cited
  • 2001Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution63 cited

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1990
Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
39 cited

Cited by

  • 2010The opportunity process for optimal consumption and investment with power utility32 cited
  • 2017Optimal investment and risk control for an insurer with stochastic factor26 cited