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Utility maximization with a given pricing measure when the utility is not necessarily concave
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References

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  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
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  • 2010

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PORTFOLIO CHOICE VIA QUANTILES
177 cited

Cited by

  • 2019Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan83 cited
  • 2018Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance56 cited
  • 2018Constrained non-concave utility maximization: An application to life insurance contracts with guarantees46 cited
  • 2014Portfolio optimization under convex incentive schemes37 cited
  • 2015Rationalizing investors’ choices31 cited
  • 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts27 cited