Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- YiLi Chien & Hanno Lustig, 2010.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
Review of Financial Studies,
Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, EconWPA, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
- Kristopher S. Gerardi & Adam Hale Shapiro & Paul S. Willen, 2007.
"Subprime outcomes: risky mortgages, homeownership experiences, and foreclosures,"
Working Papers
07-15, Federal Reserve Bank of Boston.
- Paul S. Willen & Adam Hale Shapiro & Kristopher Gerardi, 2008. "Subprime Outcomes: Risky Mortgages, Homeownership Experiences, and Foreclosures," 2008 Meeting Papers 345, Society for Economic Dynamics.
- Jouini, Elyes & Kallal, Hedi, 2001.
"Efficient Trading Strategies in the Presence of Market Frictions,"
Review of Financial Studies,
Society for Financial Studies, vol. 14(2), pages 343-369.
- Elyès Jouini & Hédi Kallal, 1998. "Efficient Trading Strategies in the Presence of Market Frictions," Working Papers 98-31, Center for Research in Economics and Statistics.
- Elyès Jouini & Hédi Kallal, 1999. "Efficient Trading Strategies in the Presence of Market Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-035, New York University, Leonard N. Stern School of Business-.
- John H. Cochrane, 2014.
"A Mean-Variance Benchmark for Intertemporal Portfolio Theory,"
Journal of Finance,
American Finance Association, vol. 69(1), pages 1-49, February.
- John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
- Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
- Jérôme B. Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO.
- Cuoco, Domenico & Cvitanic, Jaksa, 1998.
"Optimal consumption choices for a 'large' investor,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 22(3), pages 401-436, March.
- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 04-96, Wharton School Rodney L. White Center for Financial Research.
- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.
- Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
- Michael J. Stutzer, 1989. "Duality and arbitrage with transactions costs: theory and applications," Staff Report 128, Federal Reserve Bank of Minneapolis.
- Dumas, Bernard J & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers.
- Paul Willen & Felix Kubler, 2006.
"Collateralized Borrowing and Life-Cycle Portfolio Choice,"
NBER Working Papers
12309, National Bureau of Economic Research, Inc.
- Paul S. Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
- Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing And Life-Cycle Portfolio Choice," 2006 Meeting Papers 578, Society for Economic Dynamics.
- Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
- Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
- Wiesemann, Thomas, 1996. "Managing a value-preserving portfolio over time," European Journal of Operational Research, Elsevier, vol. 91(2), pages 274-283, June.
- Oleksii Mostovyi, 2011. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Papers 1107.5852, arXiv.org, revised Jul 2012.
- Schwartz, Eduardo S & Tebaldi, Claudio, 2004.
"Illiquid Assets and Optimal Portfolio Choice,"
University of California at Los Angeles, Anderson Graduate School of Management
qt7q65t12x, Anderson Graduate School of Management, UCLA.
- Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
- Bardhan, Indrajit, 1995. "Synthetic replication of American contingent claims when portfolios are constrained," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 149-165, May.
- repec:spr:compst:v:75:y:2012:i:3:p:245-272 is not listed on IDEAS
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics,
Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Christoph Czichowsky & Walter Schachermayer, 2014. "Duality Theory for Portfolio Optimisation under Transaction Costs," Papers 1408.5989, arXiv.org.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
- Lakner, Peter, 1998. "Optimal trading strategy for an investor: the case of partial information," Stochastic Processes and their Applications, Elsevier, vol. 76(1), pages 77-97, August.
- Andreas Fuster & Paul S. Willen, 2011.
"Insuring Consumption Using Income-Linked Assets,"
Review of Finance,
European Finance Association, vol. 15(4), pages 835-873.
- Andreas Fuster & Paul S. Willen, 2010. "Insuring Consumption Using Income-Linked Assets," NBER Working Papers 15829, National Bureau of Economic Research, Inc.
- Andreas Fuster & Paul S. Willen, 2010. "Insuring consumption using income-linked assets," Working Papers 10-1, Federal Reserve Bank of Boston.
- Carole Bernard & Franck Moraux & Ludger Rüschendorf & Steven Vanduffel, 2015.
"Optimal payoffs under state-dependent preferences,"
Quantitative Finance,
Taylor & Francis Journals, vol. 15(7), pages 1157-1173, July.
- Carole Bernard & Franck Moraux & Ludger Rueschendorf & Steven Vanduffel, 2013. "Optimal Payoffs under State-dependent Preferences," Papers 1308.6465, arXiv.org, revised Jul 2014.
- Carole Bernard & Franck Moraux & Ludger Rüschendorf & Steven Vanduffel, 2015. "Optimal payoffs under state-dependent preferences," Post-Print halshs-01118540, HAL.
- Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.
- Ryle Perera, 2013. "Optimal investment, consumption–leisure, insurance and retirement choice," Annals of Finance, Springer, vol. 9(4), pages 689-723, November.
- Barbachan, José Santiago Fajardo, 2003.
"Optimal Consumption and Investment with Lévy Processes,"
Revista Brasileira de Economia - RBE,
FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), October.
- Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society.
- Ziehaus Christina, 2012. "A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 269-280, August.
- repec:spr:compst:v:71:y:2010:i:3:p:551-585 is not listed on IDEAS
- Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
- Shige Peng, 2006. "Modelling Derivatives Pricing Mechanisms with Their Generating Functions," Papers math/0605599, arXiv.org.
- Gundel, Anne & Weber, Stefan, 2008. "Utility maximization under a shortfall risk constraint," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1126-1151, December.
- Jérˆme Detemple & Marcel Rindisbacher, 2005. "Closed-Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 539-568.
- repec:sbe:breart:v:20:y:2000:i:1:a:2773 is not listed on IDEAS
- Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang, 2016. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Papers 1608.01415, arXiv.org.
- Zhao, Yonggan, 2007. "A dynamic model of active portfolio management with benchmark orientation," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3336-3356, November.
- Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001.
"Arbitrage and viability in securities markets with fixed trading costs,"
Journal of Mathematical Economics,
Elsevier, vol. 35(2), pages 197-221, April.
- Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-033, New York University, Leonard N. Stern School of Business-.
- Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Post-Print halshs-00167157, HAL.
- Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 551-585, June.
- Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
- Czichowsky, Christoph & Schachermayer, Walter, 2016. "Duality theory for portfolio optimisation under transaction costs," LSE Research Online Documents on Economics 63362, London School of Economics and Political Science, LSE Library.
- Yan Li & Baimin Yu, 2012. "Portfolio selection of a closed-end mutual fund," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(3), pages 245-272, June.
- Marcet, Albert & Singleton, Kenneth J., 1999.
"Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints,"
Macroeconomic Dynamics,
Cambridge University Press, vol. 3(02), pages 243-277, June.
- Albert Marcet & Kenneth J. Singleton, 1990. "Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints," Economics Working Papers 319, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1998.
- Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007.
"Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated,"
Journal of Finance,
American Finance Association, vol. 62(5), pages 2123-2167, October.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago.
- John H. Cochrane & Jesus Saa-Requejo, 2000.
"Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets,"
Journal of Political Economy,
University of Chicago Press, vol. 108(1), pages 79-119, February.
- John H. Cochrane & Jesus Saa-Requejo, 1996. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," NBER Working Papers 5489, National Bureau of Economic Research, Inc.
- John H. Cochrane & Jesús Saá-Requejo, 1998. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," CRSP working papers 430, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- An Chen & Carla Mereu & Robert Stelzer, 2014. "Optimal investment with time-varying stochastic endowments," Papers 1406.6245, arXiv.org, revised Oct 2014.
- Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
- Haluk Yener & Fuat Can Beylunioglu, 2017. "Outperforming A Stochastic Benchmark Under Borrowing And Rectangular Constraints," Working Papers 1701, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Melenberg, B. & Werker, B.J.M., 1996. "On the Pricing of Options in Incomplete Markets," Discussion Paper 1996-19, Tilburg University, Center for Economic Research.
- Dmitry Kramkov & Kim Weston, 2015. "Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure," Papers 1507.05865, arXiv.org.
- Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
- Pavlova, Anna & Rigobon, Roberto, 2010.
"An asset-pricing view of external adjustment,"
Journal of International Economics,
Elsevier, vol. 80(1), pages 144-156, January.
- Anna Pavlova & Roberto Rigobon, 2007. "An Asset-Pricing View of External Adjustment," NBER Working Papers 13468, National Bureau of Economic Research, Inc.
- Yusong Li & Harry Zheng, 2016. "Dynamic Convex Duality in Constrained Utility Maximization," Papers 1612.04407, arXiv.org.
- Brennan, Michael J. & Xia, Yihong, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management qt8p95456t, Anderson Graduate School of Management, UCLA.
- Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
- Wolfgang Putschögl & Jörn Sass, 2008. "Optimal consumption and investment under partial information," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(2), pages 137-170, November.
- Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk, 2006. "Variance-optimal hedging for processes with stationary independent increments," Papers math/0607112, arXiv.org.
- Lakner, Peter, 1995. "Utility maximization with partial information," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 247-273, April.
- Ralf Korn, 1997. "Value preserving portfolio strategies in continuous-time models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 1-43, February.
- Kramkov, Dmitry & Weston, Kim, 2016. "Muckenhoupt’s (Ap) condition and the existence of the optimal martingale measure," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2615-2633.
- Elyès Jouini & Hédi Kallal, 1999.
"Viability and Equilibrium in Securities Markets with Frictions,"
Mathematical Finance,
Wiley Blackwell, vol. 9(3), pages 275-292.
- Elyès Jouini & Hédi Kallal, 1997. "Viability and Equilibrium in Securities Markets with Frictions," Working Papers 97-07, Center for Research in Economics and Statistics.
- Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-036, New York University, Leonard N. Stern School of Business-.
- Kristopher S. Gerardi & Adam Hale Shapiro & Paul S. Willen, 2009. "Decomposing the foreclosure crisis: House price depreciation versus bad underwriting," FRB Atlanta Working Paper 2009-25, Federal Reserve Bank of Atlanta.
- Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
- Zapatero, Fernando, 1995. "Equilibrium asset prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 787-811, May.
- Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
- Martin B. Haugh & Leonid Kogan & Jiang Wang, 2003. "Evaluating Portfolio Policies: A Duality Approach," NBER Working Papers 9861, National Bureau of Economic Research, Inc.
- I. Bajeux-Besnainou & R. Portait, 1997. "The numeraire portfolio: a new perspective on financial theory," The European Journal of Finance, Taylor & Francis Journals, vol. 3(4), pages 291-309.
- Detemple, Jérôme, 1993. "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 45-70, mars.
- Detemple, Jerome B., 2002. "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(1-2), pages 219-248, September.
- Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
- Zhu, Huiming & Deng, Chao & Yue, Shengjie & Deng, Yingchun, 2015. "Optimal reinsurance and investment problem for an insurer with counterparty risk," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 242-254.
- Schroder, Mark & Skiadas, Costis, 2005. "Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income," Stochastic Processes and their Applications, Elsevier, vol. 115(1), pages 1-30, January.
- repec:sbe:breart:v:22:y:2002:i:1:a:2745 is not listed on IDEAS
- repec:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0351-5 is not listed on IDEAS
- Zhao, Yonggan & Ziemba, William T., 2008. "Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1525-1540, March.
- Ioannis Karatzas & Xlng-Xlong Xue, 1991. "A Note On Utility Maximization Under Partial Observations," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 57-70.
- repec:dau:papers:123456789/5590 is not listed on IDEAS
- Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.
- Anis Matoussi & Hao Xing, 2016. "Convex duality for stochastic differential utility," Papers 1601.03562, arXiv.org.
- Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
- Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
- Cadenillas, Abel & Cvitanic, Jaksa & Zapatero, Fernando, 2007. "Optimal risk-sharing with effort and project choice," Journal of Economic Theory, Elsevier, vol. 133(1), pages 403-440, March.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc.
- Chen, An & Vellekoop, Michel, 2017. "Optimal investment and consumption when allowing terminal debt," European Journal of Operational Research, Elsevier, vol. 258(1), pages 385-397.
- Vassilis A. Hajivassiliou & Yannis M. Ioannides, 1992. "A Note on the Dual Approach to the Existence and Characterization of Optimal Consumption Decisions Under Uncertainty and Liquidity Constraints," Cowles Foundation Discussion Papers 1018, Cowles Foundation for Research in Economics, Yale University.
- André De Palma & Nathalie Picard & Jean-Luc Prigent, 2009. "Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID," Working Papers hal-00418892, HAL.
- Keita Owari, 2011. "A Note on Utility Maximization with Unbounded Random Endowment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 89-103, March.
- Hajivassiliou, Vassilis A. & Ioannides, Yannis M., 1996. "Duality and liquidity constraints under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1177-1192.
- repec:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500534 is not listed on IDEAS
- Zhiwu Chen, 2001. "Viable Costs and Equilibrium Prices in Frictional Securities Markets," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 297-323, November.