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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I : foundations
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 127-158
Persistent link: https://www.econbiz.de/10013489501
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The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II : existence, uniqueness and verification for θ ∈ (0, 1)
Herdegen, Martin; Hobson, David G.; Jerome, Joseph - In: Finance and stochastics 27 (2023) 1, pp. 159-188
Persistent link: https://www.econbiz.de/10013489503
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Robust utility maximisation with intractable claims
Li, Yunhong; Xu, Zuo Quan; Zhou, Xun Yu - In: Finance and stochastics 27 (2023) 4, pp. 985-1015
Persistent link: https://www.econbiz.de/10014426411
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Comonotone Pareto optimal allocations for law invariant robust utilities on L 1
Ravanelli, Claudia; Svindland, Gregor - In: Finance and stochastics 18 (2014) 1, pp. 249-269
Persistent link: https://www.econbiz.de/10010235452
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Horizon dependence of utility optimizers in incomplete models
Larsen, Kasper; Yu, Hang - In: Finance and stochastics 16 (2012) 4, pp. 779-801
Persistent link: https://www.econbiz.de/10009623531
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Consumption-portfolio optimization with recursive utility in incomplete markets
Kraft, Holger; Seifried, Frank Thomas; Steffensen, Mogens - In: Finance and stochastics 17 (2013) 1, pp. 161-196
Persistent link: https://www.econbiz.de/10009682287
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Pseudo linear pricing rule for utility indifference valuation
Henderson, Vicky; Liang, Gechun - In: Finance and stochastics 18 (2014) 3, pp. 593-615
Persistent link: https://www.econbiz.de/10010395991
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Utility maximization and risk-minimization in life and pension insurance
Nielsen, Peter Holm - In: Finance and stochastics 10 (2006) 1, pp. 75-97
Persistent link: https://www.econbiz.de/10003234952
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Utility maximization with current utility on the wealth : regularity of solutions to the HJB equation
Federico, Salvatore; Gassiat, Paul; Gozzi, Fausto - In: Finance and stochastics 19 (2015) 2, pp. 415-448
Persistent link: https://www.econbiz.de/10011418169
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186