Pages that link to "Item:Q1877521"

The following pages link to Optimal portfolios for logarithmic utility. (Q1877521):

Displaying 50 items.

• On the existence of shadow prices (Q377456) (← links)
• Insider models with finite utility in markets with jumps (Q649119) (← links)
• Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
• Comparison of option prices in semimartingale models (Q854274) (← links)
• Asymptotic arbitrage and numéraire portfolios in large financial markets (Q928500) (← links)
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients (Q930670) (← links)
• Some stability results of optimal investment in a simple Lévy market (Q939388) (← links)
• On using shadow prices in portfolio optimization with transaction costs (Q990383) (← links)
• Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
• An empirical analysis on log-utility asset management (Q1000489) (← links)
• Minimal Hellinger martingale measures of order \(q\) (Q1003340) (← links)
• Dynamic portfolio choice under asset price lognormality (Q1202468) (← links)
• Optimal portfolios for exponential Lévy processes. (Q1403170) (← links)
• A complete explicit solution to the log-optimal portfolio problem. (Q1413691) (← links)
• The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process (Q1417729) (← links)
• Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process (Q1636928) (← links)
• Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
• Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix (Q1681369) (← links)
• Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach (Q1719648) (← links)
• Optimal portfolios of a small investor in a limit order market: a shadow price approach (Q1932532) (← links)
• Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers (Q1935938) (← links)
• Utility indifference hedging with exponential additive processes (Q1959132) (← links)
• Mean-variance efficiency of optimal power and logarithmic utility portfolios (Q2024117) (← links)
• Simplified stochastic calculus via semimartingale representations (Q2076652) (← links)
• BSDEs and log-utility maximization for Lévy processes (Q2178928) (← links)
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (Q2230762) (← links)
• Asymptotic power utility-based pricing and hedging (Q2257041) (← links)
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models (Q2319611) (← links)
• Cost-efficiency in multivariate Lévy models (Q2351198) (← links)
• Risk aversion asymptotics for power utility maximization (Q2428507) (← links)
• Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230) (← links)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes (Q2475035) (← links)
• Hedging life insurance contracts in a Lévy process financial market (Q2499839) (← links)
• Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655) (← links)
• Properties of certain Lévy and geometric Lévy processes (Q2790468) (← links)
• A concise characterization of optimal consumption with logarithmic preferences (Q2862512) (← links)
• Dynamic complex hedging in additive markets (Q2994843) (← links)
• Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES (Q3393970) (← links)
• CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977) (← links)
• No Arbitrage and the Growth Optimal Portfolio (Q3423706) (← links)
• Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) (← links)
• A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS (Q3523596) (← links)
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) (← links)
• Optimal consumption of multiple goods in incomplete markets (Q4555291) (← links)
• Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (Q4610206) (← links)
• Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information (Q4968923) (← links)
• A Unified View of LIBOR Models (Q4976510) (← links)