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Discounting almost implies risk neutrality
Sobel, Matthew J. - 1998
Persistent link: https://www.econbiz.de/10000981122
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Insurance risk and ruin
Dickson, David C. M. - 2005 - 1. publ.
Persistent link: https://www.econbiz.de/10013500223
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Investigation of the stochastic utility maximization process of consumer brand choice by semiparametric modeling
Abe, Makoto; Boztuğ, Yasemin; Hildebrandt, Lutz - 2000
Persistent link: https://www.econbiz.de/10001546575
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Exponential hedging and pricing under proportional transaction costs
Bouchard, Bruno - 2000
Persistent link: https://www.econbiz.de/10001548982
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A note on the utility based option pricing with proportional transaction costs under large risk aversion
Bouchard, Bruno - 2000
Persistent link: https://www.econbiz.de/10001548990
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Bond market completeness and attainable contingent claims
Taflin, Erik - In: Finance and stochastics 9 (2005) 3, pp. 429-452
Persistent link: https://www.econbiz.de/10002946763
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Robust utility maximization in a stochastic factor model
Hernández-Hernández, Daniel (contributor);  … - 2005
dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10003324220
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On the semimartingale property via bounded logarithmic utility
Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268
Persistent link: https://www.econbiz.de/10003645478
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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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Sensitivity analysis for expected utility maximization in incomplete Brownian market models
Veraguas, Julio Backhoff; Silva, Francisco J. - In: Mathematics and financial economics 12 (2018) 3, pp. 387-411
Persistent link: https://www.econbiz.de/10011963865