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The opportunity process for optimal consumption and investment with power utility
16 references·3 citing·46 second hop
The opportunity process for optimal consumption and investment with power utility (2010)The opportunity process for optimal consu…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (2005)Optimal portfolios and Heston…Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003)Optimal consumption from inve…Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)Necessary and sufficient cond…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…A complete explicit solution to the log-optimal portfolio problem (2003)A complete explicit solution …The Economics of Risk and Time (2001)The Economics of Risk and TimeA solution approach to valuation with unhedgeable risks (2001)A solution approach to valuat…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Dynamic programming and mean-variance hedging (1999)Dynamic programming and mean-…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs (2018)Constrained portfolio-consump…The Bellman equation for power utility maximization with semimartingales (2012)The Bellman equation for powe…Risk aversion asymptotics for power utility maximization (2010)Risk aversion asymptotics for…Essays in the Theory of Risk-Bearing. (1972)Risk Aversion in the Small and in the Large (1976)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)Stochastic Differential Equations (2003)Controlled Markov Processes and Viscosity Solutions (2005)Indifference Pricing (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Martingales and arbitrage in multiperiod securities markets (1979)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)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)Approximation pricing and the variance-optimal martingale measure (1996)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)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)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 2001A solution approach to valuation with unhedgeable risks330 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
  • 2005Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility189 cited
  • 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets177 cited
  • 1999Dynamic programming and mean-variance hedging152 cited
  • 2007On the structure of general mean-variance hedging strategies

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142 cited
  • 2003A complete explicit solution to the log-optimal portfolio problem129 cited
  • Cited by

    • 2012The Bellman equation for power utility maximization with semimartingales30 cited
    • 2010Risk aversion asymptotics for power utility maximization22 cited
    • 2018Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs22 cited