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A Unified Framework for Utility Maximization Problems: an Orlicz Space Approach
8 references·12 citing·41 second hop
A Unified Framework for Utility Maximization Problems: an Orlicz Space Approach (2008)A Unified Framework for Utility Maximizat…Utility maximization in incomplete markets for unbounded processes (2005)Utility maximization in incom…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…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Infinite Dimensional Analysis (1999)Infinite Dimensional AnalysisThe fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Couverture des actifs contingents et prix maximum (1994)Couverture des actifs conting…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Forbidden Zones for the Expectations of Data: New Mathematical Methods and Models for Behavioral Economics (2021)Forbidden Zones for the Expec…Continuity of utility maximization under weak convergence (2020)Continuity of utility maximiz…Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion (2017)Portfolio optimisation beyond…Optimal stopping under model uncertainty: Randomized stopping times approach (2016)Optimal stopping under model …Optimal investment and contingent claim valuation in illiquid markets (2014)Optimal investment and contin…MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2014)MULTIVARIATE RISK MEASURES: A…Lebesgue property for convex risk measures on Orlicz spaces (2012)Lebesgue property for convex …Good Deal Bounds Induced by Shortfall Risk (2011)Good Deal Bounds Induced by S…Convex Duality in Stochastic Optimization and Mathematical Finance (2011)Convex Duality in Stochastic …CONDITIONAL CERTAINTY EQUIVALENT (2011)CONDITIONAL CERTAINTY EQUIVAL…OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2009)OPTIMAL INVESTMENT WITH AN UN…Dynamic utility-based good deal bounds (2007)Dynamic utility-based good de…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)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 stochastic integrals in the theory of continuous trading (1981)A unified framework for utility maximization problems: An Orlicz space approach (2008)INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2010)Martingales and arbitrage in multiperiod securities markets (1979)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)On the Existence of Minimax Martingale Measures (2002)Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)A general version of the fundamental theorem of asset pricing (1994)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Convex measures of risk and trading constraints (2002)Stochastic Integration and Differential Equations (2005)A dual characterization of self-generation and exponential forward performances (2009)Multivariate utility maximization with proportional transaction costs (2010)Forward–backward systems for expected utility maximization (2014)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Time consistency of dynamic risk measures in markets with transaction costs (2013)Multivariate tail conditional expectation for elliptical distributions (2016)Multivariate Shortfall Risk Allocation and Systemic Risk (2018)Hedging American contingent claims with constrained portfolios (1998)Optimal portfolios for exponential Lévy processes (2000)Optimal portfolios for logarithmic utility (2000)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)Sovereign default and debt renegotiation (2009)Homo Moralis--Preference Evolution Under Incomplete Information and Assortative Matching (2013)Quantifying Distributional Model Risk via Optimal Transport (2019)
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References

  • 1999Infinite Dimensional Analysis1,120 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
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 2001Optimal investment in incomplete markets when wealth may become negative246 cited
  • 2001Utility maximization in incomplete markets with random endowment229 cited
  • 1994Couverture des actifs contingents et prix maximum152 cited
  • 2005Utility maximization in incomplete markets for unbounded processes78 cited

Cited by

  • 2009OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING70 cited
  • 2014MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS64 cited
  • 2011Convex Duality in Stochastic Optimization and Mathematical Finance50 cited
  • 2011CONDITIONAL CERTAINTY EQUIVALENT45 cited
  • 2012Lebesgue property for convex risk measures on Orlicz spaces37 cited
  • 2014Optimal investment and contingent claim valuation in illiquid markets36 cited
  • 2017Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion

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36 cited
  • 2007Dynamic utility-based good deal bounds33 cited
  • 2016Optimal stopping under model uncertainty: Randomized stopping times approach25 cited
  • 2011Good Deal Bounds Induced by Shortfall Risk22 cited
  • 2020Continuity of utility maximization under weak convergence21 cited
  • 2021Forbidden Zones for the Expectations of Data: New Mathematical Methods and Models for Behavioral Economics0 cited