On utility maximization under convex portfolio constraints
From MaRDI portal
Publication:1948700
DOI10.1214/12-AAP850zbMath1262.91129arXiv1102.0346OpenAlexW3103402427MaRDI QIDQ1948700
Publication date: 24 April 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.0346
Related Items (11)
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Duality in a Problem of Static Partial Hedging under Convex Constraints ⋮ On utility maximization without passing by the dual problem ⋮ Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Optimal investment and price dependence in a semi-static market ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ Conditional Davis pricing ⋮ Facelifting in utility maximization
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
- Investment optimization under constraints.
- On general minimax theorems
- Constrained nonsmooth utility maximization without quadratic inf convolution
- Continuous-time stochastic control and optimization with financial applications
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Convex duality in constrained portfolio optimization
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
- Optional decompositions under constraints
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Efficient hedging: cost versus shortfall risk
- Utility maximization with a stochastic clock and an unbounded random endowment
- A utility maximization approach to hedging in incomplete markets
- Derivative pricing based on local utility maximization
- Generalized inverses. Theory and applications.
- Minimizing shortfall risk and applications to finance and insurance problems
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Optimal investment with random endowments in incomplete markets.
- Stochastic optimization under constraints.
- Convex compactness and its applications
- The numéraire portfolio in semimartingale financial models
- Convergence in the Semimartingale Topology and Constrained Portfolios
- Closedness in the Semimartingale Topology for Spaces of Stochastic Integrals with Constrained Integrands
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Convex Analysis
- Utility maximization in incomplete markets with random endowment
This page was built for publication: On utility maximization under convex portfolio constraints
