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OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
16 references·7 citing·31 second hop
OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2009)OPTIMAL INVESTMENT WITH AN UNBOUNDED RAND…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Dynamic exponential utility indifference valuation (2005)Dynamic exponential utility i…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Utility maximization in incomplete markets with random endowment (2001)Utility maximization in incom…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…Pricing Via Utility Maximization and Entropy (2000)Pricing Via Utility Maximizat…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…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Optimal investment and contingent claim valuation in illiquid markets (2014)Optimal investment and contin…Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility (2014)Incomplete Continuous-Time Se…Forward–backward systems for expected utility maximization (2014)Forward–backward systems for …An example of a stochastic equilibrium with incomplete markets (2011)An example of a stochastic eq…Multivariate utility maximization with proportional transaction costs (2010)Multivariate utility maximiza…INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2010)INDIFFERENCE PRICE WITH GENER…A dual characterization of self-generation and exponential forward performances (2009)A dual characterization of se…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Coherent Measures of Risk (1999)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The cumulant process and Esscher's change of measure (2002)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)Martingales and arbitrage in multiperiod securities markets (1979)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)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)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

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 2002Convex measures of risk and trading constraints1,452 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
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2000Pricing Via Utility Maximization and Entropy454 cited
  • 2002Exponential Hedging and Entropic Penalties369 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 1998Mathematics of Derivative Securities337 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited

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2005
Dynamic exponential utility indifference valuation
192 cited

Cited by

  • 2009A dual characterization of self-generation and exponential forward performances55 cited
  • 2014Forward–backward systems for expected utility maximization50 cited
  • 2010Multivariate utility maximization with proportional transaction costs43 cited
  • 2010INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES41 cited
  • 2014Optimal investment and contingent claim valuation in illiquid markets36 cited
  • 2011An example of a stochastic equilibrium with incomplete markets33 cited
  • 2014Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility30 cited