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On utility maximization in discrete-time financial market models

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Cited by:

  1. Miklós Rásonyi & Andrea Meireles‐Rodrigues, 2021. "On utility maximization under model uncertainty in discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 149-175, January.
  2. Miklós Rásonyi & Andrea Rodrigues, 2013. "Optimal portfolio choice for a behavioural investor in continuous-time markets," Annals of Finance, Springer, vol. 9(2), pages 291-318, May.
  3. Romain Blanchard & Laurence Carassus, 2019. "No-arbitrage with multiple-priors in discrete time," Papers 1904.08780, arXiv.org, revised Oct 2019.
  4. Fontana, Claudio & Runggaldier, Wolfgang J., 2021. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 66-80.
  5. David M. Kreps & Walter Schachermayer, 2020. "Convergence of optimal expected utility for a sequence of discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1205-1228, October.
  6. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
  7. Laurence Carassus & Massinissa Ferhoune, 2023. "Discrete time optimal investment under model uncertainty," Papers 2307.11919, arXiv.org, revised Feb 2024.
  8. Roman Muraviev, 2011. "Additive habits with power utility: Estimates, asymptotics and equilibrium," Papers 1108.2889, arXiv.org.
  9. Laurence Carassus & Miklós Rásonyi, 2007. "Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do," Mathematics of Operations Research, INFORMS, vol. 32(1), pages 102-117, February.
  10. Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
  11. Daniel Bartl & Johannes Wiesel, 2022. "Sensitivity of multiperiod optimization problems in adapted Wasserstein distance," Papers 2208.05656, arXiv.org, revised Jun 2023.
  12. Laurence Carassus & Miklós Rásonyi, 2011. "Risk-averse asymptotics for reservation prices," Annals of Finance, Springer, vol. 7(3), pages 375-387, August.
  13. Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 248-263, July.
  14. Romain Blanchard & Laurence Carassus & Miklós Rásonyi, 2018. "No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 241-281, October.
  15. Erhan Bayraktar & Yan Dolinsky & Jia Guo, 2018. "Continuity of Utility Maximization under Weak Convergence," Papers 1811.01420, arXiv.org, revised Jun 2020.
  16. Friedrich Hubalek & Walter Schachermayer, 2021. "Convergence of optimal expected utility for a sequence of binomial models," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1315-1331, October.
  17. Tahir Choulli & Jun Deng & Junfeng Ma, 2015. "How non-arbitrage, viability and numéraire portfolio are related," Finance and Stochastics, Springer, vol. 19(4), pages 719-741, October.
  18. Mikl'os R'asonyi & Jos'e G. Rodr'iguez-Villarreal, 2014. "Optimal investment under behavioural criteria -- a dual approach," Papers 1405.3812, arXiv.org, revised Jun 2014.
  19. Blanchard, Romain & Carassus, Laurence, 2020. "No-arbitrage with multiple-priors in discrete time," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6657-6688.
  20. Romain Blanchard & Laurence Carassus & Miklos Rasonyi, 2018. "Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach," Post-Print hal-01883419, HAL.
  21. Laurence Carassus & Miklós Rásonyi, 2006. "Convergence of Utility Indifference Prices to the Superreplication Price," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(1), pages 145-154, August.
  22. Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.
  23. Mikl'os R'asonyi & Andrea Meireles-Rodrigues, 2018. "On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets," Papers 1801.06860, arXiv.org, revised Jul 2020.
  24. H'el`ene Halconruy, 2021. "The insider problem in the trinomial model: a discrete-time jump process approach," Papers 2106.15208, arXiv.org, revised Sep 2023.
  25. Claudio Fontana & Wolfgang J. Runggaldier, 2020. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Papers 2006.15563, arXiv.org, revised Sep 2020.
  26. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
  27. Jan Obloj & Johannes Wiesel, 2021. "Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets," Papers 2105.00935, arXiv.org, revised Nov 2021.
  28. Jan Obłój & Johannes Wiesel, 2021. "Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1454-1493, October.
  29. Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2020. "Utility Maximization with Proportional Transaction Costs Under Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1210-1236, November.
  30. Ayelet Amiran & Fabrice Baudoin & Skylyn Brock & Berend Coster & Ryan Craver & Ugonna Ezeaka & Phanuel Mariano & Mary Wishart, 2018. "The financial value of knowing the distribution of stock prices in discrete market models," Papers 1808.03186, arXiv.org.
  31. Romain Blanchard & Laurence Carassus & Mikl'os R'asonyi, 2016. "Non-concave optimal investment and no-arbitrage: a measure theoretical approach," Papers 1602.06685, arXiv.org, revised Aug 2016.
  32. Laurence Carassus & Massinissa Ferhoune, 2024. "Nonconcave Robust Utility Maximization under Projective Determinacy," Papers 2403.11824, arXiv.org.
  33. Laurence Carassus & Miklós Rásonyi, 2016. "Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 146-173, February.
  34. Jörn Sass & Martin Smaga, 2014. "FTAP in finite discrete time with transaction costs by utility maximization," Finance and Stochastics, Springer, vol. 18(4), pages 805-823, October.
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