On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper

By Yuri M. Kabanov, Christophe Stricker. 2002

149 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ceca189269f5310e26b50cc4b0d717933136f4ee

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Citations in the corpus

Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging (2006, unknown): “The Annals of Applied Probability 2006, Vol. 16, No. 4, 2027–2054 DOI: 10.1214/105051606000000475 © Institute of Mathematical Statistics, 2006”
Utility–indifference hedging and valuation via reaction–diffusion systems (2004, methodology): “The choice of Article submitted to Royal Society ΘM is convenient from a martingale duality point of view, since ΘM is a linear space and the optimal strategies in the sequel are attained within ΘM.”
Inf-convolution of risk measures and optimal risk transfer (2005, unknown): “Then the inf-convolution of ρ and νH, ρH (Ψ) , ρ νH (Ψ) = inf {ρ (Ψ−H) ,H ∈ H} , (23)”
Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007, background): “There is ample literature on the value function and, thus, on the backward dynamic utility (see, for example, Kramkov and Schachermayer (1999), Rouge and El Karoui (2000), Delbaen et al. (2002) and Kabanov and Stricker (2002)).”
OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2007, methodology): “e deﬁnition of H perm that µ(G) ≤ 0 for all G ∈ C, so µ ∈ D. The second inclusion follows from Theorem 5.6 of Delbaen and Schachermayer (1994). We give next a slight development of Proposition 3.1 of Kabanov and Stricker (2002), which will be useful in the proofs of Propositions 2.5 and 3.3. 9 Lemma”
INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2009, background): “nded, W = 1, so that the admissible set of trading strategies is H1 and M1 is the set of local martingale measures. 2. The six Authors paper [6Au02] (see also the related work by Kabanov and Stricker [KS02]) considers only the exponential u. They extended the results [BeF02] in two respect. First th”
Minimal Entropy Martingale Measure (2010, background): “The duality in this special case has been studied in detail in [8], [18], [40].”
MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (2005, unknown): “(i) =⇒ (iv): It is well known (see Kabanov and Stricker 2002) that the density ZE of the MEM admits the representation: Log ZET = LogH(PE, P) + θ E · ST, θ E ∈ .”