Explicit solutions of some utility maximization problems in incomplete markets
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References listed on IDEAS
- Thaleia Zariphopoulou, 2001. "A solution approach to valuation with unhedgeable risks," Finance and Stochastics, Springer, vol. 5(1), pages 61-82.
- David Hobson, 2004. "STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE "q"-OPTIMAL MEASURE," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 537-556.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Marek Musiela & Thaleia Zariphopoulou, 2004. "An example of indifference prices under exponential preferences," Finance and Stochastics, Springer, vol. 8(2), pages 229-239, May.
- (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011. "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, vol. 7(2), pages 199-219, May.
- Vicky Henderson & Gechun Liang, 2014.
"Pseudo linear pricing rule for utility indifference valuation,"
Finance and Stochastics,
Springer, vol. 18(3), pages 593-615, July.
- Vicky Henderson & Gechun Liang, 2014. "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers 1403.7830, arXiv.org.
- Rohini Kumar & Hussein Nasralah, 2016. "Asymptotic approximation of optimal portfolio for small time horizons," Papers 1611.09300, arXiv.org, revised Feb 2018.
- Jean-Pierre Fouque & Ruimeng Hu, 2017. "Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment," Papers 1706.03139, arXiv.org, revised Feb 2018.
- Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
- Monoyios, Michael, 2007. "The minimal entropy measure and an Esscher transform in an incomplete market model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1070-1076, June.
- Jean-Pierre Fouque & Ruimeng Hu, 2017. "Optimal Portfolio under Fractional Stochastic Environment," Papers 1703.06969, arXiv.org, revised Dec 2017.
- Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2015. "The pricing of contingent claims and optimal positions in asymptotically complete markets," Papers 1509.06210, arXiv.org, revised Sep 2016.
- Jean-Pierre Fouque & Ruimeng Hu, 2018. "Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment," Papers 1804.03002, arXiv.org, revised Sep 2018.
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KeywordsExpected utility Incomplete markets Portfolio optimization Distortion;
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