Optimal investment in incomplete financial markets

By Walter Schachermayer. 2002

86 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/558f90574c34318ee9aeda9b0c1a9bb95fe581f1

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Citations in the corpus

Utility-Based Derivative Pricing in Incomplete Markets (2002, background): “The extent to which the equivalence holds in more general settings depends sensitively on the chosen set of trading strategies and probability measures (cf. Schachermayer (2001a) for an overview).”
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties (2007, methodology): “E-mail addresses: dher@cimat.mx (D. Hernández-Hernández), schied@math.tu-berlin.de (A. Schied).”
A Complete Explicit Solution to the Log-Optimal Portfolio Problem (2003, methodology): “For bibliography, we refer the reader to Section 2.2 of Kallsen (2001) and in particular to Foldes (1990), who stated a version of Corollary 4.2 in a quite general semimartingale setting.”
Robust utility maximization in a stochastic factor model (2006, methodology): “This stochastic control approach was recently developed by Castañeda-Leyva and Hernández-Hernández [5, 6] for utility maximization problems in incomplete financial market models, whose volatility, interest rate process, and trend are driven by an external stochastic factor process.”
Utility maximization in incomplete markets (2005, background): “Also relying upon duality theory, Kramkov and Schachermayer [12] and Cvitanic, Schachermayer and Wang [3] give a fairly complete solution of the utility optimization problem on incomplete markets for a class of general utility functions not containing the exponential one.”
Convex measures of risk and trading constraints (2002, background): “An alternative representation in terms of probability measures, which does not use a given reference measure P , is discussed in [ 15 ].”