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Optimal consumption and investment under partial information

Putschögl, Wolfgang; Sass, Jörn - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 2, pp. 137-170

Persistent link: https://www.econbiz.de/10003771480

Portfolio optimization in incomplete financial markets

Schachermayer, Walter - 2004

Persistent link: https://www.econbiz.de/10003469901

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

Robust utility maximization in a stochastic factor model

Hernández-Hernández, Daniel (contributor); … - 2005

dynamics and the factor process. Our method combines two recent advances in the theory of optimal investments: the general … duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …

Persistent link: https://www.econbiz.de/10003324220

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

On the semimartingale property via bounded logarithmic utility

Larsen, Kasper; Žitković, Gordan - In: Annals of finance 4 (2008) 2, pp. 255-268

Persistent link: https://www.econbiz.de/10003645478

Robust exponential hedging and indifference valuation

Owari, Keita (contributor) - 2008

Persistent link: https://www.econbiz.de/10003785246

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

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

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