Utility maximization, risk aversion, and stochastic dominance
From MaRDI portal
Publication:1938972
DOI10.1007/s11579-011-0052-3zbMath1275.91074arXiv1104.0761OpenAlexW3124206731MaRDI QIDQ1938972
Mathias Beiglböck, Johannes P. Temme, Johannes Muhle-Karbe
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.0761
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Unnamed Item
- Increases in risk aversion and the distribution of portfolio payoffs
- Utility maximization in models with conditionally independent increments
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Optimal portfolios for exponential Lévy processes.
- A super-martingale property of the optimal portfolio process
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- In which financial markets do mutual fund theorems hold true?
- Risk Aversion with Random Initial Wealth
- On the Existence of Minimax Martingale Measures
- Risk Aversion in the Small and in the Large
- The Existence of Probability Measures with Given Marginals
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
This page was built for publication: Utility maximization, risk aversion, and stochastic dominance
