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Utility maximization in incomplete markets with random endowment

Citations

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Cited by:

  1. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
  2. 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.
  3. Gordan Zitkovic, 2005. "Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment," Papers math/0503516, arXiv.org.
  4. Pietro Siorpaes, 2015. "Optimal investment and price dependence in a semi-static market," Finance and Stochastics, Springer, vol. 19(1), pages 161-187, January.
  5. Ioannis Karatzas & Gordan Zitkovic, 2007. "Optimal consumption from investment and random endowment in incomplete semimartingale markets," Papers 0706.0051, arXiv.org.
  6. Kasper Larsen & Halil Mete Soner & Gordan v{Z}itkovi'c, 2017. "Conditional Davis Pricing," Papers 1702.02087, arXiv.org, revised Aug 2018.
  7. Kraft, Holger & Munk, Claus & Weiss, Farina, 2019. "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 1-27.
  8. Xiang Yu, 2011. "Utility maximization with addictive consumption habit formation in incomplete semimartingale markets," Papers 1112.2940, arXiv.org, revised May 2015.
  9. Luciano Campi & Mark Owen, 2011. "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, vol. 15(3), pages 461-499, September.
  10. Kim Weston, 2016. "Stability of utility maximization in nonequivalent markets," Finance and Stochastics, Springer, vol. 20(2), pages 511-541, April.
  11. Tahir Choulli & Junfeng Ma, 2013. "Explicit Description of HARA Forward Utilities and Their Optimal Portfolios," Papers 1307.0785, arXiv.org.
  12. Gordan Zitkovic, 2013. "Dynamic Programming for controlled Markov families: abstractly and over Martingale Measures," Papers 1307.5163, arXiv.org, revised Mar 2014.
  13. 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.
  14. Gu, Lingqi & Lin, Yiqing & Yang, Junjian, 2016. "On the dual problem of utility maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1019-1035.
  15. Schwartz, Eduardo S & Tebaldi, Claudio, 2004. "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management qt7q65t12x, Anderson Graduate School of Management, UCLA.
  16. Julio Backhoff-Veraguas & Patrick Beissner & Ulrich Horst, 2019. "Robust Contracting in General Contract Spaces," Papers 1910.12516, arXiv.org, revised Mar 2021.
  17. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
  18. Andreas H Hamel & Birgit Rudloff & Zhou Zhou, 2019. "Robust no arbitrage and the solvability of vector-valued utility maximization problems," Papers 1909.00354, arXiv.org.
  19. Ferdoos Alharbi & Tahir Choulli, 2022. "Log-optimal portfolio after a random time: Existence, description and sensitivity analysis," Papers 2204.03798, arXiv.org.
  20. Lixin Wu & Min Dai, 2009. "Pricing jump risk with utility indifference," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 177-186.
  21. Kim Weston, 2014. "Stability of Utility Maximization in Nonequivalent Markets," Papers 1410.0915, arXiv.org, revised Jun 2015.
  22. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
  23. 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.
  24. Keita Owari, 2013. "A Robust Version of Convex Integral Functionals," Papers 1305.6023, arXiv.org, revised May 2015.
  25. Ashley Davey & Harry Zheng, 2024. "Deep Learning Methods for S Shaped Utility Maximisation with a Random Reference Point," Papers 2410.05524, arXiv.org.
  26. repec:zbw:bofrdp:2008_005 is not listed on IDEAS
  27. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio and num\'eraire portfolio for market models stopped at a random time," Papers 1810.12762, arXiv.org, revised Aug 2020.
  28. repec:hum:wpaper:sfb649dp2011-061 is not listed on IDEAS
  29. Wittmüß, Wiebke, 2006. "Robust optimization of consumption with random endowment," SFB 649 Discussion Papers 2006-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  30. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
  31. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Bank of Finland Research Discussion Papers 5/2008, Bank of Finland.
  32. Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Papers 1803.10128, arXiv.org, revised Feb 2021.
  33. Giuseppe Benedetti & Luciano Campi, 2011. "Multivariate utility maximization with proportional transaction costs and random endowment," Working Papers hal-00586377, HAL.
  34. Nicholas Westray & Harry Zheng, 2010. "Constrained NonSmooth Utility Maximization on the Positive Real Line," Papers 1010.4055, arXiv.org.
  35. Huhtala, Heli, 2008. "Along but beyond mean-variance : Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.
  36. Tahir Choulli & Sina Yansori, 2022. "Log-optimal and numéraire portfolios for market models stopped at a random time," Finance and Stochastics, Springer, vol. 26(3), pages 535-585, July.
  37. Kraft, Holger & Munk, Claus & Weiss, Farina, 2017. "Predictors and portfolios over the life cycle: Skill vs. luck," SAFE Working Paper Series 139, Leibniz Institute for Financial Research SAFE, revised 2017.
  38. Miklos Rasonyi, 2017. "On utility maximization without passing by the dual problem," Papers 1702.00982, arXiv.org, revised Mar 2018.
  39. repec:hum:wpaper:sfb649dp2006-063 is not listed on IDEAS
  40. M. R. Grasselli & T. R. Hurd, 2004. "Indifference pricing and hedging in stochastic volatility models," Papers math/0404447, arXiv.org.
  41. Christoph Belak & An Chen & Carla Mereu & Robert Stelzer, 2014. "Optimal investment with time-varying stochastic endowments," Papers 1406.6245, arXiv.org, revised Feb 2022.
  42. Fabio Bellini & Marco Frittelli, 2002. "On the Existence of Minimax Martingale Measures," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 1-21, January.
  43. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio without NFLVR: existence, complete characterization, and duality," Papers 1807.06449, arXiv.org.
  44. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
  45. Julio Backhoff-Veraguas & Patrick Beissner & Ulrich Horst, 2022. "Robust contracting in general contract spaces," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(4), pages 917-945, June.
  46. Ashley Davey & Michael Monoyios & Harry Zheng, 2021. "Duality for optimal consumption with randomly terminating income," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1275-1314, October.
  47. Oleksii Mostovyi, 2011. "Optimal investment with intermediate consumption and random endowment," Papers 1110.2573, arXiv.org, revised Oct 2012.
  48. Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
  49. Kasper Larsen & Halil Soner & Gordan Žitković, 2016. "Facelifting in utility maximization," Finance and Stochastics, Springer, vol. 20(1), pages 99-121, January.
  50. Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
  51. Wahid Faidi & Hanen Mezghanni & Mohamed Mnif, 2019. "Expected Utility Maximization Problem Under State Constraints and Model Uncertainty," Journal of Optimization Theory and Applications, Springer, vol. 183(3), pages 1123-1152, December.
  52. Erhan Bayraktar & Xiang Yu, 2015. "Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices," Papers 1504.00310, arXiv.org, revised Aug 2018.
  53. Yiqing Lin & Junjian Yang, 2016. "Utility maximization problem with random endowment and transaction costs: when wealth may become negative," Papers 1604.08224, arXiv.org, revised Sep 2016.
  54. Kasper Larsen & Gordan v{Z}itkovi'c, 2011. "On utility maximization under convex portfolio constraints," Papers 1102.0346, arXiv.org, revised Feb 2013.
  55. 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.
  56. Kallsen Jan & Kühn Christoph, 2006. "On utility-based derivative pricing with and without intermediate trades," Statistics & Risk Modeling, De Gruyter, vol. 24(4), pages 415-434, October.
  57. Walter Schachermayer & Mihai Sîrbu & Erik Taflin, 2009. "In which financial markets do mutual fund theorems hold true?," Finance and Stochastics, Springer, vol. 13(1), pages 49-77, January.
  58. Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2020. "Utility Maximization with Proportional Transaction Costs Under Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1210-1236, November.
  59. Kasper Larsen & Halil Mete Soner & Gordan Žitković, 2020. "Conditional Davis pricing," Finance and Stochastics, Springer, vol. 24(3), pages 565-599, July.
  60. Lingqi Gu & Yiqing Lin & Junjian Yang, 2016. "A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality," Papers 1602.01070, arXiv.org, revised Feb 2016.
  61. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
  62. repec:dau:papers:123456789/7101 is not listed on IDEAS
  63. Daniel Bartl & Ariel Neufeld & Kyunghyun Park, 2023. "Sensitivity of robust optimization problems under drift and volatility uncertainty," Papers 2311.11248, arXiv.org.
  64. Ashley Davey & Michael Monoyios & Harry Zheng, 2020. "Duality for optimal consumption with randomly terminating income," Papers 2011.00732, arXiv.org, revised May 2021.
  65. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
  66. M. R. Grasselli & T. R. Hurd, 2007. "Indifference Pricing and Hedging for Volatility Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 303-317.
  67. A. Fiori Maccioni, 2011. "The risk neutral valuation paradox," Working Paper CRENoS 201112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  68. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  69. Gregor Heyne & Michael Kupper & Ludovic Tangpi, 2016. "Portfolio Optimization Under Nonlinear Utility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
  70. Kasper Larsen & H. Mete Soner & Gordan Zitkovic, 2014. "Facelifting in Utility Maximization," Papers 1404.2227, arXiv.org.
  71. Keita Owari, 2011. "A Note on Utility Maximization with Unbounded Random Endowment," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 89-103, March.
  72. Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2018. "Utility maximization with proportional transaction costs under model uncertainty," Papers 1805.06498, arXiv.org, revised Aug 2019.
  73. Peter Imkeller & Nicolas Perkowski, 2015. "The existence of dominating local martingale measures," Finance and Stochastics, Springer, vol. 19(4), pages 685-717, October.
  74. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
  75. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742, Elsevier.
  76. Mnif, Mohammed & Pham, Huyên, 2001. "Stochastic optimization under constraints," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 149-180, May.
  77. repec:dau:papers:123456789/2318 is not listed on IDEAS
  78. Tehranchi, Michael, 2004. "Explicit solutions of some utility maximization problems in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 114(1), pages 109-125, November.
  79. Walter Schachermayer & Mihai Sirbu & Erik Taflin, 2007. "In which Financial Markets do Mutual Fund Theorems hold true?," Papers 0710.1909, arXiv.org.
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