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Optimal investment : bounds and heuristics
Rogers, Leonard C. G.; Zaczkowski, P. - In: The journal of computational finance 19 (2015/2016) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011442629
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Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
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Optimal incomplete block designs
Morgan, J. P. - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 655-663
Persistent link: https://www.econbiz.de/10003490455
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Portfolio optimization in incomplete financial markets
Schachermayer, Walter - 2004
Persistent link: https://www.econbiz.de/10003469901
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Investment dynamics in electricity markets
García, Alfredo; Stacchetti, Ennio - In: Economic theory : official journal of the Society for … 46 (2011) 2, pp. 149-187
Persistent link: https://www.econbiz.de/10008826743
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On endogenous compactness of the individual state space in the Huggett model
Kam, Timothy - 2010
Persistent link: https://www.econbiz.de/10003940904
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007
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Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196
Persistent link: https://www.econbiz.de/10009682287
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Utility maximisation in incomplete markets
Schachemayer, Walter - In: Stochastic methods in finance : lectures given at the …, (pp. 255-293). 2004
Persistent link: https://www.econbiz.de/10002526480
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A quasilinear parabolic equation with quadratic growth of the gradient modeling incomplete financial markets
Düring, Bertram (contributor); Jüngel, Ansgar (contributor) - 2004
We consider a quasilinear parabolic equation with quadratic gradient terms. It arises in the modelling of an optimal portfolio which maximizes the expected utility from terminal wealth in incomplete markets consisting of risky assets and non-tradable state variables. The existence of solutions...
Persistent link: https://www.econbiz.de/10002527946