Optimal investment in incomplete markets when wealth may become negative

By Walter Schachermayer. 2001

259 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/25ed0a84b1b0279acf19c22bffc9ea6dfa50413c

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In Economics and Econometrics

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In Management Science and Operations Research

Citations in the corpus

Optimal Hedging with Basis Risk (2006, background): “In the spirit of Schachermayer [15] we make the following definitions Ab = {π ∈ A0 : X π t ≥ aπ a.s. for all t ∈ [0, T ], for some aπ ∈ R} .”
On the Existence of Minimax Martingale Measures (2002, methodology): “This is shown in counterexample 5.1 of Kramkov and Schachermayer (1999) where u x log x : COROLLARY 2.2.”
Exponential Utility Maximization in an Incomplete Market with Defaults (2011, methodology): “In the case of general semimartingales, we quote Kramkov and Schachermayer [21], Shachermayer [33] and Delbaen et al. [6] for the particular case of the exponential utility function.”
INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2009, unknown): “For the relevance of σ -martingales in mathematical finance as pricing measures when S is non locally bounded, the reader is referred to Delbaen and Schachermayer (1998).”
Mean field and n‐agent games for optimal investment under relative performance criteria (2017, methodology): “Beyond the linear quadratic models of Bensoussan, Sung, Yam, and Yung (2016), Carmona, Delarue, and Lachapelle (2013), and Carmona et al. (2015), such examples are scarce, especially in the presence of common noise.”
ON UTILITY MAXIMIZATION IN DISCRETE-TIME FINANCIAL MARKET MODELS (2005, background): “[17, 27] or [9]) does not work: according to Counterexample 2.”
TRADING WITH SMALL PRICE IMPACT (2014, unknown): “, Section 8 for a simple example; compare [48] for a general setting).”
Minimal Entropy Martingale Measure (2010, background): “More details can for instance be found in [41], [46], [67], [26], [68].”
A Unified Framework for Utility Maximization Problems: an Orlicz space approach (2007, background): “In the first paper, the assumption AE+∞(u) 1 was introduced and it was shown to be crucial for the existence of the solution of problem (1).”
OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2007, methodology): “For a proof of the equivalence of Assumptions 1.1 and 1.2, we refer the reader to proposition 4.1 and corollary 4.2 of Schachermayer (2001) and lemma 6.3 of Kramkov and Schachermayer (1999).”
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003, methodology): “A well-known tool in studying the optimization problem (4) is the use of duality relationships in the spaces of convex functions and semimartingales; see, for example, [1–3, 6–11, 13].”
Optimal portfolios for logarithmic utility (2000, unknown): “Kramkov & Schachermayer (1999), Schachermayer (1999) .”
Exponential Hedging and Entropic Penalties (2002, background): “Schachermayer (2000) obtains a duality result of the type (2.2) for a locally bounded semimartingale X with a more general utility function U defined on R, but without a contingent claim B.”