Two-agent Pareto optimal cooperative investment in general semimartingale model

DOI10.1080/02331930903369852zbMath1237.91212OpenAlexW2000183729MaRDI QIDQ3093075

Qing Zhou, Weixing Wu

Publication date: 12 October 2011

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930903369852

zbMATH Keywords

stochastic optimizationincomplete marketsbackward stochastic differential equationPareto optimumcooperative investment

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• A variational problem arising in financial economics
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Option hedging for semimartingales
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• On games without side payments arising from a general class of markets
• Competitive outcomes in the cores of market games
• Stochastic cooperative games in insurance
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Hedging and liquidation under transaction costs in currency markets
• A general version of the fundamental theorem of asset pricing
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• A characterization of polyhedral market games
• Multi-agent investment in incomplete markets
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Foundations of Modern Probability
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Perspectives of Risk Sharing
• Equilibrium in a Reinsurance Market
• A Limit Theorem on the Core of an Economy
• Utility maximization in incomplete markets with random endowment

This page was built for publication: Two-agent Pareto optimal cooperative investment in general semimartingale model