Utility maximization in incomplete markets with random endowment
Year of publication: |
2001-04-10
|
---|---|
Authors: | (**), Hui Wang ; Cvitanic, Jaksa ; (*), Walter Schachermayer |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 2, p. 259-272
|
Publisher: |
Springer |
Subject: | Utility maximization | incomplete markets | random endowment | duality |
Extent: | application/pdf |
---|---|
Type of publication: | Article |
Notes: | received: November 1999; final version received: February 2000 |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
-
Optimal consumption and investment with Epstein-Zin recursive utility
Kraft, Holger, (2016)
-
Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger, (2014)
-
Optimal consumption and investment with Epstein-Zin recursive utility
Kraft, Holger, (2016)
- More ...
-
Principal-Agent Problems with Exit Options
Cvitanic, Jaksa, (2008)
-
Competition in Portfolio Management : Theory and Experiment
Asparouhova, Elena N., (2012)
-
Market Microstructure Design and Flash Crashes : A Simulation Approach
Plott, Charles R., (2013)
- More ...