The opportunity process for optimal consumption and investment with power utility
type: Item
instance of: scholarly article
title: The opportunity process for optimal consumption and investment with power utility
zbMATH Open document ID: 1255.91452
author: Marcel Nutz
published in: Mathematics and Financial Economics
publication date: 2013-01-20T00:00:00Z
full work available at URL: https://arxiv.org/abs/0912.1879
full work available at URL: http://hdl.handle.net/20.500.11850/26097
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B42
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6127181
zbMATH Keywords: power utility
zbMATH Keywords: consumption
zbMATH Keywords: semimartingale
zbMATH Keywords: dynamic programming
zbMATH Keywords: convex duality
MaRDI profile type: Publication
OpenAlex ID: W2116572559
arXiv ID: 0912.1879
cites work: On the structure of general mean-variance hedging strategies
cites work: Weighted norm inequalities and hedging in incomplete markets
cites work: The fundamental theorem of asset pricing for unbounded stochastic processes
cites work: Q3957683
cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
cites work: A complete explicit solution to the log-optimal portfolio problem.
cites work: The economics of risk and time
cites work: Q4778955
cites work: UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
cites work: Q4368791
cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets.
cites work: Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
cites work: Dynamic programming and mean-variance hedging
cites work: Q4459182
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: The Bellman equation for power utility maximization with semimartingales
cites work: POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
cites work: Risk aversion asymptotics for power utility maximization
cites work: On the minimal martingale measure and the möllmer-schweizer decomposition
cites work: Explicit solutions of some utility maximization problems in incomplete markets
cites work: A solution approach to valuation with unhedgeable risks
cites work: A filtered version of the bipolar theorem of Brannath and Schachermayer
DOI: 10.1007/S11579-010-0031-0
description: scientific article