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Citations for "Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case"

by He, Hua & Pearson, Neil D.

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  1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, EconWPA, revised 16 Nov 2001.
  2. Paul S. Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
  3. Shige Peng, 2006. "Modelling Derivatives Pricing Mechanisms with Their Generating Functions," Papers math/0605599, arXiv.org.
  4. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
  5. Oleksii Mostovyi, 2011. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Papers 1107.5852, arXiv.org, revised Jul 2012.
  6. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
  7. 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.
  8. 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.
  9. 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.
  10. 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-.
  11. 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.
  12. 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.
  13. 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.
  14. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
  15. Pavlova, Anna & Rigobon, Roberto, 2010. "An asset-pricing view of external adjustment," Journal of International Economics, Elsevier, vol. 80(1), pages 144-156, January.
  16. 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.
  17. Wiesemann, Thomas, 1996. "Managing a value-preserving portfolio over time," European Journal of Operational Research, Elsevier, vol. 91(2), pages 274-283, June.
  18. repec:spr:compst:v:75:y:2012:i:3:p:245-272 is not listed on IDEAS
  19. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
  20. 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.
  21. 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.
  22. Dmitry Kramkov & Kim Weston, 2015. "Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure," Papers 1507.05865, arXiv.org.
  23. Christoph Czichowsky & Walter Schachermayer, 2014. "Duality Theory for Portfolio Optimisation under Transaction Costs," Papers 1408.5989, arXiv.org.
  24. 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.
  25. 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.
  26. repec:dau:papers:123456789/5374 is not listed on IDEAS
  27. 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-.
  28. An Chen & Carla Mereu & Robert Stelzer, 2014. "Optimal investment with time-varying stochastic endowments," Papers 1406.6245, arXiv.org, revised Oct 2014.
  29. 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, 08.
  30. 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.
  31. Domenico Cuoco & Jaksa Cvitanic, . "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.
  32. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  33. 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.
  34. 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.
  35. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
  36. 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.
  37. 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.
  38. Ryle Perera, 2013. "Optimal investment, consumption–leisure, insurance and retirement choice," Annals of Finance, Springer, vol. 9(4), pages 689-723, November.
  39. Anis Matoussi & Hao Xing, 2016. "Convex duality for stochastic differential utility," Papers 1601.03562, arXiv.org.
  40. 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.
  41. 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.
  42. 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.
  43. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2003. "Evaluating Portfolio Policies: A Duality Approach," NBER Working Papers 9861, National Bureau of Economic Research, Inc.
  44. Lakner, Peter, 1995. "Utility maximization with partial information," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 247-273, April.
  45. Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
  46. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society.
  47. 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.
  48. Michael J. Stutzer, 1989. "Duality and arbitrage with transactions costs: theory and applications," Staff Report 128, Federal Reserve Bank of Minneapolis.
  49. Friedrich Hubalek & Jan Kallsen & Leszek Krawczyk, 2006. "Variance-optimal hedging for processes with stationary independent increments," Papers math/0607112, arXiv.org.
  50. 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.
  51. 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.
  52. Andreas Fuster & Paul S. Willen, 2010. "Insuring consumption using income-linked assets," Working Papers 10-1, Federal Reserve Bank of Boston.
  53. repec:dau:papers:123456789/5590 is not listed on IDEAS
  54. repec:spr:compst:v:71:y:2010:i:3:p:551-585 is not listed on IDEAS
  55. Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.
  56. 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.
  57. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.
  58. 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.
  59. 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.
  60. Yusong Li & Harry Zheng, 2016. "Dynamic Convex Duality in Constrained Utility Maximization," Papers 1612.04407, arXiv.org.
  61. 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.
  62. Jérôme B. Detemple & Angel Serrat, 1998. "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers 98s-41, CIRANO.
  63. 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.
  64. 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.
  65. 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.
  66. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  67. Christoph Czichowsky & Walter Schachermayer, 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.
  68. 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.
  69. Gundel, Anne & Weber, Stefan, 2008. "Utility maximization under a shortfall risk constraint," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1126-1151, December.
  70. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
  71. 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.
  72. 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.
  73. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  74. 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.
  75. 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.
  76. 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.
  77. 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.
  78. 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.
  79. 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.
  80. Zapatero, Fernando, 1995. "Equilibrium asset prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 787-811, May.
  81. 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.
  82. 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.
  83. 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.
  84. Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.