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A variational problem arising in financial economics

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Cox, John C.
Huang, Chi-fu
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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 20 (1991)
Issue (Month): 5 ()
Pages: 465-487
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Handle: RePEc:eee:mateco:v:20:y:1991:i:5:p:465-487

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  1. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  2. Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  3. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Quantitative Finance Papers 0706.0051, arXiv.org. [Downloadable!]
  4. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152_v1, HAL. [Downloadable!]
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  5. Paolo BATTOCCHIO & Francesco MENONCIN, 2002. "Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  6. Francesco Menoncin, 2006. "The role of longevity bonds in optimal portfolios," Working Papers 0601, University of Brescia, Department of Economics. [Downloadable!]
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  7. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
  8. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers 2001-6, Copenhagen Business School, Department of Finance. [Downloadable!]
  9. Jérôme B. Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO. [Downloadable!]
  10. Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
  11. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  12. Francesco, MENONCIN, 2002. "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  13. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO. [Downloadable!]
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  14. Francesco Menoncin, . "Risk management for an internationally diversified portfolio," Working Papers ubs0404, University of Brescia, Department of Economics. [Downloadable!]
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  15. Castaneda, Pablo, 2005. "Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile," MPRA Paper 3346, University Library of Munich, Germany, revised 30 Dec 2006. [Downloadable!]
  16. Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Quantitative Finance Papers 0706.0482, arXiv.org, revised Jun 2007. [Downloadable!]
  17. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  18. Holger Kraft & Ralf Korn, 2008. "Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided?," Financial Markets and Portfolio Management, Springer, vol. 22(1), pages 67-90, March. [Downloadable!] (restricted)
  19. Francesco MENONCIN, 2002. "How the Financial ManagersÕ Remuneration Can Affect the Optimal Portfolio Composition ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  20. Katarzyna Romaniuk, 2007. "The optimal asset allocation of the main types of pension funds: a unified framework," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 32(2), pages 113-128, December. [Downloadable!] (restricted)
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