Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
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Cited by:
- Zixin Feng & Dejian Tian & Harry Zheng, 2024. "Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets," Papers 2407.19995, arXiv.org.
- Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019.
"An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior,"
Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.
- Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2016. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Papers 1607.02289, arXiv.org, revised Apr 2017.
- Ying Hu & Gechun Liang & Shanjian Tang, 2018. "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers 1807.01816, arXiv.org, revised Jun 2020.
- Matthew O. Adaji, 2023. "Mathematical Model for the Determination of Optimal Salary in Defined Benefit Pension Plan with Early Retirement, An Application of Smooth-Pasting Condition," International Journal of Research and Innovation in Applied Science, International Journal of Research and Innovation in Applied Science (IJRIAS), vol. 8(9), pages 128-144, September.
- Dingqian Sun, 2020. "The convergence rate from discrete to continuous optimal investment stopping problem," Papers 2004.14627, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2017-07-09 (Utility Models and Prospect Theory)
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