Pages that link to "Item:Q1203746"

The following pages link to Convex duality in constrained portfolio optimization (Q1203746):

Displaying 50 items.

• Kim and Omberg revisited: the duality approach (Q1657919) (← links)
• Quadratic minimization with portfolio and intertemporal wealth constraints (Q1680704) (← links)
• Optimal investment strategies for participating contracts (Q1681198) (← links)
• Optimal investment of DC pension plan under short-selling constraints and portfolio insurance (Q1735031) (← links)
• Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing (Q1771800) (← links)
• Hedging American contingent claims with constrained portfolios under proportional transaction costs (Q1776603) (← links)
• Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
• Recursive utility maximization for terminal wealth under partial information (Q1792900) (← links)
• On the pricing of contingent claims under constraints (Q1814741) (← links)
• A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429) (← links)
• Optimal consumption choice with intertemporal substitution (Q1872451) (← links)
• Optimal portfolio in partially observed stochastic volatility models. (Q1872462) (← links)
• Optimal portfolios for logarithmic utility. (Q1877521) (← links)
• Conservative delta hedging. (Q1884835) (← links)
• Stochastic optimization under constraints. (Q1888753) (← links)
• Synthetic replication of American contingent claims when portfolios are constrained (Q1890718) (← links)
• A mispricing model of stocks under asymmetric information (Q1926893) (← links)
• Dual representation of superhedging costs in illiquid markets (Q1938969) (← links)
• On utility maximization under convex portfolio constraints (Q1948700) (← links)
• Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation. (Q1972341) (← links)
• Utility maximization with habit formation of interaction (Q1983703) (← links)
• Recursive utility optimization with concave coefficients (Q2001553) (← links)
• Duality for optimal consumption under no unbounded profit with bounded risk (Q2094575) (← links)
• Optimal control of the SIR model with constrained policy, with an application to COVID-19 (Q2118494) (← links)
• Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation (Q2123124) (← links)
• On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes (Q2133355) (← links)
• Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees (Q2152251) (← links)
• Decrease of capital guarantees in life insurance products: can reinsurance stop it? (Q2155835) (← links)
• A consumption-investment model with state-dependent lower bound constraint on consumption (Q2166446) (← links)
• BSDEs and log-utility maximization for Lévy processes (Q2178928) (← links)
• Generalization of \(h\)-convex stochastic processes and some classical inequalities (Q2196907) (← links)
• Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems (Q2203457) (← links)
• Utility maximization via decoupling fields (Q2240471) (← links)
• Near-optimal asset allocation in financial markets with trading constraints (Q2242286) (← links)
• Portfolio selection: a review (Q2247913) (← links)
• Optimal investment and contingent claim valuation in illiquid markets (Q2255004) (← links)
• Portfolio optimization under convex incentive schemes (Q2255013) (← links)
• The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints (Q2267519) (← links)
• Expected utility maximization problem under state constraints and model uncertainty (Q2278901) (← links)
• Mixed-asset portfolio allocation under mean-reverting asset returns (Q2288891) (← links)
• Portfolio optimization under Solvency II (Q2288904) (← links)
• Consumption in incomplete markets (Q2308177) (← links)
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (Q2309594) (← links)
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs (Q2312400) (← links)
• Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (Q2323341) (← links)
• Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan (Q2333010) (← links)
• Robust utility maximization under convex portfolio constraints (Q2348619) (← links)
• Quadratic minimization with portfolio and terminal wealth constraints (Q2351638) (← links)
• A dynamic programming approach to constrained portfolios (Q2355875) (← links)