Utility maximisation in incomplete markets

被引:0
|
作者
Schachermayer, W [1 ]
机构
[1] Vienna Univ Technol, A-1040 Vienna, Austria
来源
关键词
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:255 / 293
页数:39
相关论文
共 50 条
  • [31] UTILITY MAXIMIZATION WITH ADDICTIVE CONSUMPTION HABIT FORMATION IN INCOMPLETE SEMIMARTINGALE MARKETS
    Yu, Xiang
    [J]. ANNALS OF APPLIED PROBABILITY, 2015, 25 (03): : 1383 - 1419
  • [32] UTILITY MAXIMIZATION WITH RATCHET AND DRAWDOWN CONSTRAINTS ON CONSUMPTION IN INCOMPLETE SEMIMARTINGALE MARKETS
    Tanana, Anastasiya
    [J]. ANNALS OF APPLIED PROBABILITY, 2023, 33 (05): : 4127 - 4162
  • [33] Robust utility maximisation with intractable claims
    Yunhong Li
    Zuo Quan Xu
    Xun Yu Zhou
    [J]. Finance and Stochastics, 2023, 27 : 985 - 1015
  • [34] Deep Learning for Constrained Utility Maximisation
    Ashley Davey
    Harry Zheng
    [J]. Methodology and Computing in Applied Probability, 2022, 24 : 661 - 692
  • [35] Robust utility maximisation with intractable claims
    Li, Yunhong
    Xu, Zuo Quan
    Zhou, Xun Yu
    [J]. FINANCE AND STOCHASTICS, 2023, 27 (04) : 985 - 1015
  • [36] Deep Learning for Constrained Utility Maximisation
    Davey, Ashley
    Zheng, Harry
    [J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (02) : 661 - 692
  • [37] Duality theory for robust utility maximisation
    Daniel Bartl
    Michael Kupper
    Ariel Neufeld
    [J]. Finance and Stochastics, 2021, 25 : 469 - 503
  • [38] Duality theory for robust utility maximisation
    Bartl, Daniel
    Kupper, Michael
    Neufeld, Ariel
    [J]. FINANCE AND STOCHASTICS, 2021, 25 (03) : 469 - 503
  • [39] Consumption-investment optimization with Epstein-Zin utility in incomplete markets
    Xing, Hao
    [J]. FINANCE AND STOCHASTICS, 2017, 21 (01) : 227 - 262
  • [40] Nonconcave Utility Maximisation in the MIMO Broadcast Channel
    Johannes Brehmer
    Wolfgang Utschick
    [J]. EURASIP Journal on Advances in Signal Processing, 2009