Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

By Dmitry O. Kramkov, Walter Schachermayer. 2003

243 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/880581c0525c7cd24c15264c782996e4fa01c46f

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In Economics and Econometrics

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In Management Science and Operations Research

Citations in the corpus

The numéraire portfolio in semimartingale financial models (2007, methodology): “Several papers are devoted to proving some version of Theorem 3.4; in the generality assumed here, a proof appears in Kabanov [22], although all the crucial work was done by Delbaen and Schachermayer [10] and the theorem is certainly due to them.”
MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING (2005, unknown): “Since X ≡ x ∈ X (x), it is clear that X̂ ∈ X (x) is efficient only if E[X̂T] ≥ x. 1 For a detailed description of the theory of expected utility maximization and references, see, e.g., Kramkov and Schachermayer (1999, 2003).”
A theory of bond portfolios (2003, unknown): “O C ] 2 0 M ay 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 2, 1260–1305 DOI: 10.1214/105051605000000160 c© Institute of Mathematical Statistics, 2005”
ON UTILITY MAXIMIZATION IN DISCRETE-TIME FINANCIAL MARKET MODELS (2005, background): “This approach has already been pursued by, for example, Davis [5], Frittelli [8] and Hugonnier, Kramkov and Schachermayer [14], and goes back to principles of economic theory, see [13].”
Duality theory for optimal investments under model uncertainty (2005, methodology): “The first is a duality result in the spirit of Kramkov and Schachermayer [13, 14] under relatively strong assumptions on the prior set Q; in particular it is assumed that all measures in (the closure of) Q are equivalent to a given reference measure P. (1) The second class of results in [16] deals w”