Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing

DOI10.1080/02331930802355283zbMath1152.91532OpenAlexW2093106260MaRDI QIDQ5505153

Ping Li, Shou-Yang Wang

Publication date: 23 January 2009

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930802355283

zbMATH Keywords

incomplete marketutility maximizationmartingale measurederivative pricingoptimal consumption

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Optimization of consumption with labor income
• Optimal investment and consumption with transaction costs
• Minimal martingale measures for discrete-time incomplete financial markets
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Discrete Time Equivalent Martingale Measure
• Optimal investment in derivative securities

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