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Optimal consumption and invest...
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1
Exponential utility maximization under partial information
Mania, Michael
;
Santacroce, Marina
- In:
Finance and stochastics
14
(
2010
)
3
,
pp. 419-448
Persistent link: https://www.econbiz.de/10010216491
Saved in:
2
Portfolio optimization under partial information with expert opinions
Frey, Rüdiger
;
Gabih, Abdelali
;
Wunderlich, Ralf
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009562133
Saved in:
3
Optimal consumption and investment problem with random horizon in a BMAP model
Chen, Xu
;
Yang, Xiang-qun
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 197-205
Persistent link: https://www.econbiz.de/10010515884
Saved in:
4
Incomplete information and heterogeneous beliefs in continuous-time finance : with 8 tables
Ziegler, Alexandre
-
2003
Persistent link: https://www.econbiz.de/10001734215
Saved in:
5
Essays on investement and consumption choice
Comon, Etienne
-
2001
Persistent link: https://www.econbiz.de/10001717923
Saved in:
6
Portfolio optimization in incomplete financial markets
Schachermayer, Walter
-
2004
Persistent link: https://www.econbiz.de/10003469901
Saved in:
7
A note on utility maximization with unbounded random endowment
Owari, Keita
-
2009
Persistent link: https://www.econbiz.de/10003940089
Saved in:
8
Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias
;
Muhle-Karbe, Johannes
;
Temme, Johannes
-
2011
at the expense of a more widespread distribution. Dybvig and Wang [J. Econ.
Theory
, 2011, to appear] find that this idea …
Persistent link: https://www.econbiz.de/10009009482
Saved in:
9
Risk-averse asymptotics for reservation prices
Carassus, Laurence
;
Rásonyi, Miklós
- In:
Annals of finance
7
(
2011
)
3
,
pp. 375-387
Persistent link: https://www.econbiz.de/10009248120
Saved in:
10
Non-standard backward stochastic differential equations and multiple optimal stopping problems with applications to securities pricing
Zhang, Jianing
-
2012
of quadratic BSDEs. This method is based on a stochastic analogue to the Cole-Hopf transformation from PDE
theory
. We …
Persistent link: https://www.econbiz.de/10009783510
Saved in:
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