Search Results - subject:"random endowment"

Optimal investment with intermediate consumption and random endowment

Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 96-114

Persistent link: https://www.econbiz.de/10011739444

Multivariate utility maximization with proportional transaction costs and random endowment

Benedetti, Giuseppe; Campi, Luciano - HAL - 2011

In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...

Persistent link: https://www.econbiz.de/10009643221

Stability of utility maximization in nonequivalent markets

Weston, Kim - In: Finance and stochastics 20 (2016) 2, pp. 511-541

Persistent link: https://www.econbiz.de/10011471515

Sensitivity of optimal consumption streams

Herdegen, Martin; Muhle-Karbe, Johannes - 2015

We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. At the …

Persistent link: https://www.econbiz.de/10011412135

Multivariate utility maximization with proportional transaction costs and random endowment

Campi, Luciano; Benedetti, Giuseppe - Université Paris-Dauphine (Paris IX) - 2012

Persistent link: https://www.econbiz.de/10010706447

Utility maximization in incomplete markets with random endowment

(**), Hui Wang; Cvitanic, Jaksa; (*), Walter Schachermayer - In: Finance and Stochastics 5 (2001) 2, pp. 259-272

utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete …

Persistent link: https://www.econbiz.de/10005759646