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A note on utility maximization with unbounded random endowment

Owari, Keita - In: Asia-Pacific financial markets 18 (2011) 1, pp. 89-103

Persistent link: https://www.econbiz.de/10009237747

Relaxed utility maximization in complete markets

Biagini, Sara; Guasoni, Paolo - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 703-722

Persistent link: https://www.econbiz.de/10009311613

Utility maximization, risk aversion, and stochastic dominance

Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - 2011

at the expense of a more widespread distribution. Dybvig and Wang [J. Econ. Theory, 2011, to appear] find that this idea …

Persistent link: https://www.econbiz.de/10009009482

Risk-averse asymptotics for reservation prices

Carassus, Laurence; Rásonyi, Miklós - In: Annals of finance 7 (2011) 3, pp. 375-387

Persistent link: https://www.econbiz.de/10009248120

Non-standard backward stochastic differential equations and multiple optimal stopping problems with applications to securities pricing

Zhang, Jianing - 2012

of quadratic BSDEs. This method is based on a stochastic analogue to the Cole-Hopf transformation from PDE theory. We …

Persistent link: https://www.econbiz.de/10009783510

Exponential utility maximization under partial information

Mania, Michael; Santacroce, Marina - In: Finance and stochastics 14 (2010) 3, pp. 419-448

Persistent link: https://www.econbiz.de/10010216491

Robust exponential hedging and indifference valuation

Owari, Keita - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1075-1101

Persistent link: https://www.econbiz.de/10008906207

Utility maximization, risk aversion, and stochastic dominance

Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - In: Mathematics and financial economics 6 (2012) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10009544192

Utility maximization, choice and preference : with 49 figures and 28 tables

Aleskerov, Fuad T.; Bouyssou, Denis; Monjardet, Bernard - 2007 - 2. ed.

Persistent link: https://www.econbiz.de/10003320480

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

Hernaández-Hernández, Daniel (contributor); … - 2006

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an...

Persistent link: https://www.econbiz.de/10003375787