Remarks on optimal strategies to utility maximizations in continuous time incomplete markets

DOI10.14495/JSIAML.9.53zbMath1419.91599OpenAlexW2736256702MaRDI QIDQ3121489

Naohiro Yoshida

Publication date: 18 March 2019

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.9.53

zbMATH Keywords

incomplete marketsutility maximizationmartingale methodologies

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Cites Work

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• A variational problem arising in financial economics
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• On martingale measures when asset returns have unpredictable jumps
• 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 Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

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