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Utility maximization in incomplete markets

Citations

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Cited by:

  1. Marcel Nutz, 2011. "A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations," Papers 1106.3273, arXiv.org, revised May 2012.
  2. Thibaut Mastrolia, 2017. "Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions," Working Papers hal-01504473, HAL.
  3. Mbodji, O.S. & Nguyen-Huu, A. & Pirvu, T.A., 2019. "Optimal sharing rule for a household with a portfolio management problem," Mathematical Social Sciences, Elsevier, vol. 101(C), pages 88-98.
  4. Wing Fung Chong & Gechun Liang, 2024. "Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach," Papers 2410.01378, arXiv.org.
  5. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
  6. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," CARF F-Series CARF-F-270, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jun 2012.
  7. Christoph Belak & An Chen & Carla Mereu & Robert Stelzer, 2014. "Optimal investment with time-varying stochastic endowments," Papers 1406.6245, arXiv.org, revised Feb 2022.
  8. Guanxing Fu, 2022. "Mean Field Portfolio Games with Consumption," Papers 2206.05425, arXiv.org, revised Dec 2022.
  9. Antonelli, Fabio & Mancini, Carlo, 2016. "Solutions of BSDE’s with jumps and quadratic/locally Lipschitz generator," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3124-3144.
  10. Fujii, Masaaki & Takahashi, Akihiko, 2018. "Quadratic–exponential growth BSDEs with jumps and their Malliavin’s differentiability," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 2083-2130.
  11. Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
  12. Joshua Aurand & Yu‐Jui Huang, 2023. "Epstein‐Zin utility maximization on a random horizon," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1370-1411, October.
  13. David M. Kreps & Walter Schachermayer, 2020. "Convergence of optimal expected utility for a sequence of discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1205-1228, October.
  14. Marie-Amélie Morlais, 2009. "Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem," Finance and Stochastics, Springer, vol. 13(1), pages 121-150, January.
  15. 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.
  16. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
  17. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
  18. Huiwen Yan & Gechun Liang & Zhou Yang, 2015. "Indifference Pricing and Hedging in a Multiple-Priors Model with Trading Constraints," Papers 1503.08969, arXiv.org.
  19. Zhao, Qian & Wang, Rongming & Wei, Jiaqin, 2016. "Exponential utility maximization for an insurer with time-inconsistent preferences," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 89-104.
  20. Gechun Liang & Thaleia Zariphopoulou, 2015. "Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE," Papers 1511.04863, arXiv.org, revised Nov 2016.
  21. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, August.
  22. Brian Robert Calfano, 2010. "Prophetic at Any Price? Clergy Political Behavior and Utility Maximization," Social Science Quarterly, Southwestern Social Science Association, vol. 91(3), pages 649-668, September.
  23. Ying Hu & Gechun Liang & Shanjian Tang, 2017. "Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility," Papers 1707.00199, arXiv.org, revised Oct 2024.
  24. Claudio Fontana & Bernt Øksendal & Agnès Sulem, 2015. "Market Viability and Martingale Measures under Partial Information," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 15-39, March.
  25. Briand, Philippe & Elie, Romuald, 2013. "A simple constructive approach to quadratic BSDEs with or without delay," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 2921-2939.
  26. Kim, Kon-Gun & Kim, Mun-Chol & O, Hun, 2022. "Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators," Statistics & Probability Letters, Elsevier, vol. 186(C).
  27. Michael Mania & Marina Santacroce, 2008. "Exponential Utility Maximization under Partial Information," ICER Working Papers - Applied Mathematics Series 24-2008, ICER - International Centre for Economic Research.
  28. Idris Kharroubi & Thomas Lim, 2014. "Progressive Enlargement of Filtrations and Backward Stochastic Differential Equations with Jumps," Journal of Theoretical Probability, Springer, vol. 27(3), pages 683-724, September.
  29. Dirk Becherer & Martin Buttner & Klebert Kentia, 2016. "On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples," Papers 1607.06644, arXiv.org, revised Nov 2019.
  30. Łukasz Delong, 2019. "Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 73-113, February.
  31. Tianxiao Wang, 2012. "Risk minimizing of derivatives via dynamic g-expectation and related topics," Papers 1208.2068, arXiv.org.
  32. Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
  33. Grzegorz Hara'nczyk & Wojciech S{l}omczy'nski & Tomasz Zastawniak, 2007. "Relative and Discrete Utility Maximising Entropy," Papers 0709.1281, arXiv.org.
  34. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility optimization with concave coefficients," Papers 1607.00721, arXiv.org.
  35. Erhan Bayraktar & Yan Dolinsky & Jia Guo, 2018. "Continuity of Utility Maximization under Weak Convergence," Papers 1811.01420, arXiv.org, revised Jun 2020.
  36. Hiroaki Hata & Shuenn-Jyi Sheu & Li-Hsien Sun, 2019. "Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case," Papers 1903.08957, arXiv.org.
  37. Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
  38. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field Equilibrium Price Formation with Exponential Utility," CIRJE F-Series CIRJE-F-1210, CIRJE, Faculty of Economics, University of Tokyo.
  39. Erhan Bayraktar & Zhou Zhou, 2012. "On controller-stopper problems with jumps and their applications to indifference pricing of American options," Papers 1212.4894, arXiv.org, revised Nov 2013.
  40. Guanxing Fu, 2023. "Mean field portfolio games with consumption," Mathematics and Financial Economics, Springer, volume 17, number 4, February.
  41. Santiago Moreno-Bromberg & Traian Pirvu & Anthony R'eveillac, 2011. "CRRA Utility Maximization under Risk Constraints," Papers 1106.1702, arXiv.org, revised Mar 2012.
  42. Masaaki Fujii & Akihiko Takahashi, 2012. "Perturbative Expansion of FBSDE in an Incomplete Market with Stochastic Volatility," Papers 1202.0608, arXiv.org, revised Sep 2012.
  43. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
  44. Wing Fung Chong & Gechun Liang, 2018. "Optimal investment and consumption with forward preferences and uncertain parameters," Papers 1807.01186, arXiv.org, revised Nov 2023.
  45. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
  46. Mastrolia, Thibaut, 2018. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 897-938.
  47. Guanxing Fu & Chao Zhou, 2021. "Mean Field Portfolio Games," Papers 2106.06185, arXiv.org, revised Apr 2022.
  48. Masaaki Fujii & Akihiko Takahashi, 2015. "Quadratic-exponential Growth BSDEs with Jumps and their Malliavin's Differentiability," CIRJE F-Series CIRJE-F-997, CIRJE, Faculty of Economics, University of Tokyo.
  49. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field equilibrium price formation with exponential utility," CARF F-Series CARF-F-559, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  50. Masaaki Fujii & Masashi Sekine, 2024. "Mean Field Equilibrium Asset Pricing Model with Habit Formation," CIRJE F-Series CIRJE-F-1229, CIRJE, Faculty of Economics, University of Tokyo.
  51. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2016. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Working Papers hal-01258645, HAL.
  52. Thomas Lim & Marie-Claire Quenez, 2010. "Portfolio optimization in a default model under full/partial information," Papers 1003.6002, arXiv.org, revised Nov 2013.
  53. Claudia Ceci & Anna Gerardi, 2011. "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 85-120, November.
  54. Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Feb 2017.
  55. Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014. "Forward–backward systems for expected utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.
  56. Marina Santacroce & Paola Siri & Barbara Trivellato, 2023. "Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models," Papers 2302.08253, arXiv.org.
  57. Lionnet, Arnaud, 2014. "Some results on general quadratic reflected BSDEs driven by a continuous martingale," Stochastic Processes and their Applications, Elsevier, vol. 124(3), pages 1275-1302.
  58. Marie-Amelie Morlais, 2006. "Quadratic BSDEs driven by a continuous martingale and application to utility maximization problem," Papers math/0610749, arXiv.org, revised Mar 2008.
  59. Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers 1005.4417, arXiv.org, revised Jan 2011.
  60. Dejian Tian, 2022. "Pricing principle via Tsallis relative entropy in incomplete market," Papers 2201.05316, arXiv.org, revised Oct 2022.
  61. M. Mania & R. Tevzadze, 2008. "Backward Stochastic PDEs related to the utility maximization problem," Papers 0806.0240, arXiv.org.
  62. Zongxia Liang & Jianming Xia & Keyu Zhang, 2023. "Equilibrium stochastic control with implicitly defined objective functions," Papers 2312.15173, arXiv.org, revised Dec 2023.
  63. Kramkov, Dmitry & Weston, Kim, 2016. "Muckenhoupt’s (Ap) condition and the existence of the optimal martingale measure," Stochastic Processes and their Applications, Elsevier, vol. 126(9), pages 2615-2633.
  64. Peng, Xingchun & Wei, Linxiao & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 78-86.
  65. Hu, Ying & Ma, Jin & Peng, Shige & Yao, Song, 2008. "Representation theorems for quadratic -consistent nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1518-1551, September.
  66. Briand, Philippe & Confortola, Fulvia, 2008. "BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces," Stochastic Processes and their Applications, Elsevier, vol. 118(5), pages 818-838, May.
  67. Daniel Hernández-Hernández & Erick Treviño-Aguilar, 2014. "Characterization of the Value Process in Robust Efficient Hedging," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 56-75, April.
  68. Mohajan, Devajit & Mohajan, Haradhan, 2022. "Sensitivity Analysis between Lagrange Multipliers and Consumer Coupon: Utility Maximization Perspective," MPRA Paper 116022, University Library of Munich, Germany, revised 16 Sep 2022.
  69. Covello, D. & Santacroce, M., 2010. "Power utility maximization under partial information: Some convergence results," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2016-2036, September.
  70. Eduardo Abi Jaber & Stéphane Villeneuve, 2025. "Gaussian agency problems with memory and linear contracts," Finance and Stochastics, Springer, vol. 29(1), pages 143-176, January.
  71. Arnaud Porchet & Nizar Touzi & Xavier Warin, 2009. "Valuation of power plants by utility indifference and numerical computation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 47-75, August.
  72. Guohui Guan & Zongxia Liang & Yilun Song, 2022. "The continuous-time pre-commitment KMM problem in incomplete markets," Papers 2210.13833, arXiv.org, revised Feb 2023.
  73. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.
  74. Hu, Ying & Lin, Yiqing & Soumana Hima, Abdoulaye, 2018. "Quadratic backward stochastic differential equations driven by G-Brownian motion: Discrete solutions and approximation," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3724-3750.
  75. Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
  76. Madan, Dilip & Pistorius, Martijn & Stadje, Mitja, 2016. "Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1553-1584.
  77. Pham, Huyên, 2010. "Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1795-1820, August.
  78. Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
  79. Han, Bingyan & Wong, Hoi Ying, 2021. "Merton’s portfolio problem under Volterra Heston model," Finance Research Letters, Elsevier, vol. 39(C).
  80. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field equilibrium price formation with exponential utility," Papers 2304.07108, arXiv.org, revised Jan 2025.
  81. Jessica Martin & Stéphane Villeneuve, 2023. "Risk-sharing and optimal contracts with large exogenous risks," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 1-43, June.
  82. Nobuhiro Nakamura, 2004. "Numerical Approach to Asset Pricing Models with Stochastic Differential Utility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 267-300, September.
  83. Kohlmann, Michael & Niethammer, Christina R., 2007. "On convergence to the exponential utility problem," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1813-1834, December.
  84. Dingqian Sun, 2020. "The convergence rate from discrete to continuous optimal investment stopping problem," Papers 2004.14627, arXiv.org.
  85. Christophette Blanchet-Scalliet & Etienne Chevalier & Idris Kharroubi & Thomas Lim, 2015. "Max–Min Optimization Problem For Variable Annuities Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-35, December.
  86. Hao Xing, 2017. "Consumption–investment optimization with Epstein–Zin utility in incomplete markets," Finance and Stochastics, Springer, vol. 21(1), pages 227-262, January.
  87. B. Chikvinidze & M. Mania, 2014. "New Proofs of Some Results on Bounded Mean Oscillation Martingales Using Backward Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 27(4), pages 1213-1228, December.
  88. Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
  89. Masaaki Fujii & Masashi Sekine, 2024. "Mean field equilibrium asset pricing model with habit formation," Papers 2406.02155, arXiv.org, revised Nov 2024.
  90. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
  91. Ma, Hanmin & Tian, Dejian, 2021. "Generalized entropic risk measures and related BSDEs," Statistics & Probability Letters, Elsevier, vol. 174(C).
  92. Jessica Martin & Stéphane Villeneuve, 2023. "Risk-sharing and optimal contracts with large exogenous risks," Post-Print hal-04164688, HAL.
  93. Dmitry Kramkov & Sergio Pulido, 2014. "A system of quadratic BSDEs arising in a price impact model," Papers 1408.0916, arXiv.org, revised May 2016.
  94. Min Dai & Yuchao Dong & Yanwei Jia & Xun Yu Zhou, 2023. "Learning Merton's Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration," Papers 2312.11797, arXiv.org.
  95. repec:dau:papers:123456789/7119 is not listed on IDEAS
  96. Masashi Sekine, 2024. "Mean field equilibrium asset pricing model under partial observation: An exponential quadratic Gaussian approach," Papers 2410.01352, arXiv.org.
  97. Wahid Faidi & Anis Matoussi & Mohamed Mnif, 2017. "Optimal Stochastic Control Problem Under Model Uncertainty With Nonentropy Penalty," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-41, May.
  98. Nam, Kihun, 2021. "Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 376-411.
  99. M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou, 2012. "Second Order BSDEs with Jumps: Existence and probabilistic representation for fully-nonlinear PIDEs," Papers 1208.0763, arXiv.org, revised May 2014.
  100. Thibaut Mastrolia, 2016. "Density analysis of non-Markovian BSDEs and applications to biology and finance," Papers 1602.06101, arXiv.org.
  101. Zhao, Qian & Shen, Yang & Wei, Jiaqin, 2014. "Consumption–investment strategies with non-exponential discounting and logarithmic utility," European Journal of Operational Research, Elsevier, vol. 238(3), pages 824-835.
  102. Geiss, Stefan & Ylinen, Juha, 2020. "Weighted bounded mean oscillation applied to backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3711-3752.
  103. Jessica Martin & St'ephane Villeneuve, 2021. "A Class of Explicit optimal contracts in the face of shutdown," Papers 2102.00001, arXiv.org.
  104. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.
  105. Len Patrick Dominic M. Garces & Yang Shen, 2024. "Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment," Papers 2407.02831, arXiv.org.
  106. Fan, ShengJun, 2016. "Bounded solutions, Lp(p>1) solutions and L1 solutions for one dimensional BSDEs under general assumptions," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1511-1552.
  107. repec:dau:papers:123456789/7101 is not listed on IDEAS
  108. Samuel Drapeau & Peng Luo & Dewen Xiong, 2017. "Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization," Papers 1703.02694, arXiv.org, revised Sep 2019.
  109. Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
  110. Masaaki Fujii & Masashi Sekine, 2023. "Mean-field equilibrium price formation with exponential utility," CARF F-Series CARF-F-594, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2025.
  111. Guanxing Fu & Xizhi Su & Chao Zhou, 2020. "Mean Field Exponential Utility Game: A Probabilistic Approach," Papers 2006.07684, arXiv.org, revised Jul 2020.
  112. Anis Matoussi & Hao Xing, 2016. "Convex duality for stochastic differential utility," Papers 1601.03562, arXiv.org.
  113. Yumo Zhang, 2023. "Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 97-128, June.
  114. Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org.
  115. Christoph Frei & Markus Mocha & Nicholas Westray, 2011. "BSDEs in Utility Maximization with BMO Market Price of Risk," Papers 1107.0183, arXiv.org, revised Feb 2012.
  116. Olivier Menoukeu-Pamen & Ludovic Tangpi, 2023. "Maximum Principle for Stochastic Control of SDEs with Measurable Drifts," Journal of Optimization Theory and Applications, Springer, vol. 197(3), pages 1195-1228, June.
  117. Gechun Liang & Yifan Sun & Thaleia Zariphopoulou, 2023. "Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent," Papers 2401.00103, arXiv.org.
  118. Guanxing Fu & Chao Zhou, 2023. "Mean field portfolio games," Finance and Stochastics, Springer, vol. 27(1), pages 189-231, January.
  119. Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
  120. Masaaki Fujii & Akihiko Takahashi, 2016. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin’s Differentiability (revised version of CARF-F-376)," CARF F-Series CARF-F-395, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  121. Vicky Henderson & Gechun Liang, 2014. "Pseudo linear pricing rule for utility indifference valuation," Finance and Stochastics, Springer, vol. 18(3), pages 593-615, July.
  122. Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients," Papers 2211.05291, arXiv.org.
  123. Marie-Amelie Morlais, 2006. "Utility Maximization in a jump market model," Papers math/0612181, arXiv.org, revised May 2008.
  124. Calisto Guambe & Rodwell Kufakunesu, 2017. "Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach," Papers 1711.01760, arXiv.org.
  125. Benedetti, Giuseppe & Campi, Luciano, 2016. "Utility indifference valuation for non-smooth payoffs with an application to power derivatives," LSE Research Online Documents on Economics 63016, London School of Economics and Political Science, LSE Library.
  126. repec:hal:wpaper:hal-01147411 is not listed on IDEAS
  127. Bernt Oksendal & Agnès Sulem, 2011. "Portfolio optimization under model uncertainty and BSDE games," Working Papers inria-00570532, HAL.
  128. Thibaut Mastrolia & Zhenjie Ren, 2017. "Principal-Agent Problem with Common Agency without Communication," Papers 1706.02936, arXiv.org, revised Jan 2018.
  129. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 423-448, June.
  130. Masaaki Fujii & Akihiko Takahashi, 2015. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability," Papers 1512.05924, arXiv.org, revised Sep 2017.
  131. Ludovic Tangpi & Xuchen Zhou, 2022. "Optimal Investment in a Large Population of Competitive and Heterogeneous Agents," Papers 2202.11314, arXiv.org, revised Feb 2023.
  132. Wahid Faidi, 2022. "Optimal investment and consumption under logarithmic utility and uncertainty model," Papers 2211.05367, arXiv.org, revised Jun 2024.
  133. Kim, Kon-Gun & Kim, Mun-Chol & Hwang, Ho-Jin, 2024. "Representation of solutions to quadratic 2BSDEs with unbounded terminal values," Statistics & Probability Letters, Elsevier, vol. 213(C).
  134. Thai Nguyen & Mitja Stadje, 2020. "Utility maximization under endogenous pricing," Papers 2005.04312, arXiv.org, revised Mar 2024.
  135. Roger J. A. Laeven & Mitja Stadje, 2014. "Robust Portfolio Choice and Indifference Valuation," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1109-1141, November.
  136. repec:hum:wpaper:sfb649dp2011-061 is not listed on IDEAS
  137. Masaaki Fujii & Akihiko Takahashi, 2017. "Quadratic-exponential growth BSDEs with Jumps and their Malliavin's Differentiability (Forthcoming in Stochastic Processes and their Applications)(revised version of CARF-F-395)," CARF F-Series CARF-F-420, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  138. Yushi Hamaguchi, 2019. "Time-inconsistent consumption-investment problems in incomplete markets under general discount functions," Papers 1912.01281, arXiv.org, revised Mar 2021.
  139. Etienne Chevalier & Thomas Lim & Ricardo Romo Roméro, 2014. "Indifference fee rate for variable annuities," Working Papers hal-01017157, HAL.
  140. Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-17, September.
  141. Likibi Pellat, Rhoss & Menoukeu Pamen, Olivier, 2024. "Density analysis for coupled forward–backward SDEs with non-Lipschitz drifts and applications," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
  142. Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
  143. Jana Bielagk & Arnaud Lionnet & Gonçalo dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
  144. Chao Deng & Xizhi Su & Chao Zhou, 2020. "Relative wealth concerns with partial information and heterogeneous priors," Papers 2007.11781, arXiv.org.
  145. Zixin Feng & Dejian Tian & Harry Zheng, 2024. "Consumption-investment optimization with Epstein-Zin utility in unbounded non-Markovian markets," Papers 2407.19995, arXiv.org.
  146. Thibaut Mastrolia, 2017. "Moral hazard in welfare economics: on the advantage of Planner's advices to manage employees' actions," Papers 1706.01254, arXiv.org.
  147. 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.
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