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Stochastic dynamic utilities and intertemporal preferences
Maggis, Marco; Maran, Andrea - In: Mathematics and financial economics 15 (2021) 3, pp. 611-638
Persistent link: https://www.econbiz.de/10012586192
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Indifference pricing for CRRA utilities
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V. - In: Mathematics and financial economics 7 (2013) 3, pp. 247-280
Persistent link: https://www.econbiz.de/10009754856
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Utility maximization with a given pricing measure when the utility is not necessarily concave
Reichlin, Christian - In: Mathematics and financial economics 7 (2013) 4, pp. 531-556
Persistent link: https://www.econbiz.de/10009792525
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Asymptotic arbitrage and large deviations
Föllmer, Hans; Schachermayer, Walter - In: Mathematics and financial economics 1 (2008) 3/4, pp. 213-249
Persistent link: https://www.econbiz.de/10003722526
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Mean-variance efficiency of optimal power and logarithmic utility portfolios
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; … - In: Mathematics and financial economics 14 (2020) 4, pp. 675-698
Persistent link: https://www.econbiz.de/10012321865
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A generalized stochastic differential utility driven by G-Brownian motion
Lin, Qian; Tian, Dejian; Tian, Weidong - In: Mathematics and financial economics 14 (2020) 3, pp. 547-576
Persistent link: https://www.econbiz.de/10012240314
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A note on utility-based pricing
Davis, Mark H. A.; Yoshikawa, Daisuke - In: Mathematics and financial economics 9 (2015) 3, pp. 215-230
Persistent link: https://www.econbiz.de/10011350250
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Additive portfolio improvement and utility-efficient payoffs
Kassberger, Stefan; Liebmann, Thomas - In: Mathematics and financial economics 11 (2017) 2, pp. 241-262
Persistent link: https://www.econbiz.de/10011900543
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Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization
Rudloff, Birgit; Ulus, Firdevs - In: Mathematics and financial economics 15 (2021) 2, pp. 397-430
Persistent link: https://www.econbiz.de/10012500037
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The structure of optimal consumption streams in general incomplete markets
Malamud, Semyon; Trubowitz, Eugene - In: Mathematics and financial economics 1 (2007) 2, pp. 129-161
Persistent link: https://www.econbiz.de/10003591561