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Search: subject:"Logarithmic utility"
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Logarithmic utility
9
Nutzen
9
Utility
9
logarithmic utility
8
Portfolio selection
7
Portfolio-Management
7
Theorie
6
Theory
6
Nutzenfunktion
4
Utility function
4
Option pricing theory
3
Optionspreistheorie
3
Power utility
3
Stochastic process
3
Stochastischer Prozess
3
Utility maximization
3
Mathematical programming
2
Mathematische Optimierung
2
Mean-variance analysis
2
Semimartingales
2
Shannon information
2
Value preserving portfolios
2
differential entropy
2
enlargement of filtration
2
entropy
2
growth optimal portfolios
2
heterogeneous information
2
incomplete financial markets
2
information difference
2
insider model
2
interest oriented portfolios
2
martingale measure
2
minimal martingale measure
2
numeraire portfolios
2
portfolio optimization
2
power utility
2
utility maximization
2
Additively separable logarithmic utility function
1
Affine diffusion process
1
Analysis
1
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Undetermined
14
Free
4
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Article
17
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11
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11
Working Paper
1
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English
14
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6
Author
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Ankirchner, Stefan
2
Dereich, Steffen
2
Imkeller, Peter
2
Korn, Ralf
2
Miyake, Mitsunobu
2
Schäl, Manfred
2
Bodnar, Taras
1
Chen, An
1
Choulli, Tahir
1
Clyman, Dana R.
1
Czichowsky, Christoph
1
Deng, Jun
1
Hieber, Peter
1
Ivasiuk, Dmytro
1
Larsen, Kasper
1
Lim, Thomas
1
MARKOWITZ, HARRY
1
Ma, Junfeng
1
Mai, Jan-Frederik
1
Nguyen, Thai
1
Pagliarani, Stefano
1
Parolya, Nestor
1
Peterson, Zachariah
1
Peyre, Rémi
1
Quenez, Marie-Claire
1
Schachermayer, Walter
1
Schmid, Wolfgang
1
Vargiolu, Tiziano
1
Villar, Antonio
1
Wang, Rongming
1
Wei, Jiaqin
1
Yang, Hailiang
1
Yang, Junjian
1
Zhang, Yumo
1
Žitković, Gordan
1
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HAL
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
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Finance and stochastics
2
Annals of Finance
1
Annals of Financial Economics (AFE)
1
Applied mathematical finance
1
Computational Statistics
1
Decisions in economics and finance : a journal of applied mathematics
1
Economics letters
1
European journal of operational research : EJOR
1
Journal of mathematical economics
1
Management Science
1
Mathematical Methods of Operations Research
1
Mathematics and financial economics
1
OR spectrum : quantitative approaches in management
1
SFB 649 Discussion Paper
1
SFB 649 Discussion Papers
1
Statistics & Probability Letters
1
The journal of investment strategies
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Theoretical economics letters
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ECONIS (ZBW)
11
RePEc
8
EconStor
1
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1
A note on the measurement of poverty persistence
Villar, Antonio
- In:
Economics letters
236
(
2024
),
pp. 1-3
Persistent link: https://www.econbiz.de/10015071839
Saved in:
2
Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach
Zhang, Yumo
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
1
,
pp. 97-128
Persistent link: https://www.econbiz.de/10014321379
Saved in:
3
Mean-variance efficiency of optimal power and
logarithmic
utility
portfolios
Bodnar, Taras
;
Ivasiuk, Dmytro
;
Parolya, Nestor
; …
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 675-698
Persistent link: https://www.econbiz.de/10012321865
Saved in:
4
Constrained non-concave utility maximization : an application to life insurance contracts with guarantees
Chen, An
;
Hieber, Peter
;
Nguyen, Thai
- In:
European journal of operational research : EJOR
273
(
2019
)
3
,
pp. 1119-1135
Persistent link: https://www.econbiz.de/10011987696
Saved in:
5
Portfolio optimization for credit-risky assets under Marshall–Olkin dependence
Mai, Jan-Frederik
- In:
Applied mathematical finance
26
(
2019
)
6
,
pp. 598-618
Persistent link: https://www.econbiz.de/10012210432
Saved in:
6
The Kelly criterion in portfolio optimization : a decoupled problem
Peterson, Zachariah
- In:
The journal of investment strategies
7
(
2018
)
2
,
pp. 52-76
Persistent link: https://www.econbiz.de/10011880161
Saved in:
7
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Czichowsky, Christoph
;
Peyre, Rémi
;
Schachermayer, Walter
- In:
Finance and stochastics
22
(
2018
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10011945647
Saved in:
8
Logarithmically homogeneous preferences
Miyake, Mitsunobu
- In:
Journal of mathematical economics
67
(
2016
),
pp. 1-9
Persistent link: https://www.econbiz.de/10011665934
Saved in:
9
Portfolio optimization in a default model under full/partial information
Lim, Thomas
;
Quenez, Marie-Claire
-
HAL
-
2010
contribution consists in showing that the optimal strategy can be obtained by a direct approach for the
logarithmic
utility
…
Persistent link: https://www.econbiz.de/10008793843
Saved in:
10
How non-arbitrage, viability and numéraire portfolio are related
Choulli, Tahir
;
Deng, Jun
;
Ma, Junfeng
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 719-741
Persistent link: https://www.econbiz.de/10011420437
Saved in:
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