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A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
15 references·9 citing·32 second hop
A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements (2000)A Martingale Characterization of Consumpt…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Optimal Replication of Contingent Claims under Portfolio Constraints (1998)Optimal Replication of Contin…Optimal consumption choices for a ‘large’ investor (1998)Optimal consumption choices f…Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income (1997)Optimal Consumption and Equil…On the pricing of contingent claims under constraints (1996)On the pricing of contingent …Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Hedging Contingent Claims with Constrained Portfolios (1993)Hedging Contingent Claims wit…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients (1992)A Duality Method for Optimal …Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Consumption and portfolio pol…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Solvency Constraint, Underdiversification, and Idiosyncratic Risks (2014)Solvency Constraint, Underdiv…Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios (2013)Why does junior put all his e…The Economics of Credit Default Swaps (2011)The Economics of Credit Defau…Illiquidity, position limits, and optimal investment for mutual funds (2011)Illiquidity, position limits,…OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (2008)OPTIMALITY AND STATE PRICING …Convex duality in constrained mean-variance portfolio optimization (2007)Convex duality in constrained…On the role of arbitrageurs in rational markets☆ (2006)On the role of arbitrageurs i…Arbitraging Arbitrageurs (2005)Arbitraging ArbitrageursDuality in constrained optimal investment and consumption problems: a synthesis (2003)Duality in constrained optima…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)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 under Uncertainty: The Continuous-Time Case (1969)Who Should Buy Long-Term Bonds? (2001)Utility maximization in incomplete markets (2005)A Guided Tour through Quadratic Hedging Approaches (2010)An Intertemporal Capital Asset Pricing Model (1973)An Equilibrium Model with Restricted Stock Market Participation (1998)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Optimal Portfolio Choice under Loss Aversion (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Hedging in incomplete markets with HARA utility (1997)VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)Correlation Risk and Optimal Portfolio Choice (2010)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1997Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income277 cited
  • 1993Hedging Contingent Claims with Constrained Portfolios250 cited
  • 1996On the pricing of contingent claims under constraints191 cited
  • 1998Optimal consumption choices for a ‘large’ investor173 cited
  • 1998Optimal Replication of Contingent Claims under Portfolio Constraints130 cited
  • 1992

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A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients
127 cited

Cited by

  • 2011The Economics of Credit Default Swaps69 cited
  • 2003Duality in constrained optimal investment and consumption problems: a synthesis68 cited
  • 2005Arbitraging Arbitrageurs68 cited
  • 2006On the role of arbitrageurs in rational markets☆66 cited
  • 2013Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios39 cited
  • 2011Illiquidity, position limits, and optimal investment for mutual funds39 cited
  • 2007Convex duality in constrained mean-variance portfolio optimization35 cited
  • 2014Solvency Constraint, Underdiversification, and Idiosyncratic Risks31 cited
  • 2008OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION27 cited