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Consumption-Investment Models with Constraints
13 references·16 citing·31 second hop
Consumption-Investment Models with Constraints (1994)Consumption-Investment Models with Constr…Hedging in incomplete markets with HARA utility (1997)Hedging in incomplete markets…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…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…Explicit Solution of a General Consumption/Investment Problem (1986)Explicit Solution of a Genera…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Optimal control of diffustion…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesStochastic Differential Equations (1972)Stochastic Differential Equat…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion (2015)Minimizing the Probability of…ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (2013)ROBUST UTILITY MAXIMIZATION I…Pension funds with a minimum guarantee: a stochastic control approach (2010)Pension funds with a minimum …A stochastic control problem with delay arising in a pension fund model (2010)A stochastic control problem …Correspondence between lifetime minimum wealth and utility of consumption (2007)Correspondence between lifeti…Minimizing the probability of lifetime ruin under borrowing constraints (2006)Minimizing the probability of…Dynamic Portfolio Choice and Risk Aversion (2006)Dynamic Portfolio Choice and …Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (2004)Lifetime consumption-portfoli…Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints (2002)Smooth Solutions to Optimal I…Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002)Pricing Dynamic Insurance Ris…Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good (2002)Optimal consumption and inves…Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies (2001)Risk Aversion and Optimal Por…Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001)Dynamic Optimization of Long‐…A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities (2001)A Geometric Approach to Multi…Optimal investment and consumption models with non-linear stock dynamics (1999)Optimal investment and consum…Optimal Consumption and Portfolio Choice with Borrowing Constraints (1997)Optimal Consumption and Portf…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)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)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Who Should Buy Long-Term Bonds? (2001)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)A Guided Tour through Quadratic Hedging Approaches (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)An Equilibrium Model with Restricted Stock Market Participation (1998)Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Rational Momentum Effects (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1972Stochastic Differential Equations977 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 1991Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case436 cited
  • 1986Explicit Solution of a General Consumption/Investment Problem387 cited
  • 1997Hedging in incomplete markets with HARA utility246 cited
  • 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application218 cited

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  • 2002Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

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119 cited
  • 2010Pension funds with a minimum guarantee: a stochastic control approach98 cited
  • 2013ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL94 cited
  • 2002Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility93 cited
  • 2010A stochastic control problem with delay arising in a pension fund model89 cited
  • 2001Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies87 cited
  • 2001Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility86 cited
  • 1997Optimal Consumption and Portfolio Choice with Borrowing Constraints80 cited
  • 2015Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion65 cited
  • 2006Minimizing the probability of lifetime ruin under borrowing constraints61 cited
  • 1999Optimal investment and consumption models with non-linear stock dynamics57 cited
  • 2001A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities53 cited
  • 2004Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income48 cited
  • 2006Dynamic Portfolio Choice and Risk Aversion47 cited
  • 2002Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good45 cited
  • 2007Correspondence between lifetime minimum wealth and utility of consumption40 cited