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An expansion in the model space in the context of utility maximization

https://doi.org/10.1007/s00780-017-0353-3
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-84628-696-4_13openalex-snapshot
Brownian Motion and Stochastic Calculus
inferredcites →https://doi.org/10.1007/978-3-540-30788-4_8openalex-snapshot
Optimal Hedging with Basis Risk
inferredcites →https://doi.org/10.1007/b138356openalex-snapshot
Semiconcave Functions, Hamilton—Jacobi Equations, and Optimal Control
inferredcites →https://doi.org/10.1007/b98840openalex-snapshot
Methods of Mathematical Finance
inferredcites →https://doi.org/10.1007/pl00013532openalex-snapshot
The relaxed investor and parameter uncertainty
inferredcites →https://doi.org/10.1007/s00780-007-0047-3openalex-snapshot
The numéraire portfolio in semimartingale financial models
inferredcites →https://doi.org/10.1007/s00780-009-0111-2openalex-snapshot
A note on the existence of the power investor’s optimizer
inferredcites →https://doi.org/10.1007/s00780-014-0248-5openalex-snapshot
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
inferredcites →https://doi.org/10.1007/s00780-015-0261-3openalex-snapshot
Asymptotics for fixed transaction costs
inferredcites →https://doi.org/10.1007/s00780-016-0309-zopenalex-snapshot
Hedging with small uncertainty aversion
inferredcites →https://doi.org/10.1007/s00780-016-0316-0openalex-snapshot
Optimal consumption and investment with Epstein–Zin recursive utility
inferredcites →https://doi.org/10.1016/0022-0531(89)90067-7openalex-snapshot
Optimal consumption and portfolio policies when asset prices follow a diffusion process
inferredcites →https://doi.org/10.1016/j.jedc.2011.09.009openalex-snapshot
The Costs of Suboptimal Dynamic Asset Allocation: General Results and Applications to Interest Rate Risk, Stock Volatility Risk, and Growth/Value Tilts
inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.008openalex-snapshot
Market price of risk specifications for affine models: Theory and evidence☆
inferredcites →https://doi.org/10.1016/j.spa.2006.10.012openalex-snapshot
Stability of utility-maximization in incomplete markets
inferredcites →https://doi.org/10.1016/s0165-1889(02)00051-9openalex-snapshot
Monte Carlo computation of optimal portfolios in complete markets
inferredcites →https://doi.org/10.1080/14697680500149503openalex-snapshot
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
inferredcites →https://doi.org/10.1090/s0002-9947-1954-0062207-1openalex-snapshot
The Exact Peano Derivative
inferredcites →https://doi.org/10.1093/acprof:oso/9780199585496.001.0001openalex-snapshot
Financial Asset Pricing Theory
inferredcites →https://doi.org/10.1093/rfs/9.1.141openalex-snapshot
Dynamic Nonmyopic Portfolio Behavior
inferredcites →https://doi.org/10.1093/rfs/hhi019openalex-snapshot
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhi035openalex-snapshot
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
inferredcites →https://doi.org/10.1093/rfs/hhl001openalex-snapshot
Portfolio Selection in Stochastic Environments
inferredcites →https://doi.org/10.1111/1540-6261.00529openalex-snapshot
A Monte Carlo Method for Optimal Portfolios
inferredcites →https://doi.org/10.1111/j.1467-9965.2002.tb00129.xopenalex-snapshot
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
inferredcites →https://doi.org/10.1111/mafi.12017openalex-snapshot
STATIC FUND SEPARATION OF LONG‐TERM INVESTMENTS
inferredcites →https://doi.org/10.1111/mafi.12035openalex-snapshot
OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
inferredcites →https://doi.org/10.1137/0325086openalex-snapshot
Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
inferredcites →https://doi.org/10.1137/0329039openalex-snapshot
Martingale and Duality Methods for Utility Maximization in an Incomplete Market
inferredcites →https://doi.org/10.1137/120892441openalex-snapshot
Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
inferredcites →https://doi.org/10.1162/003355399556043openalex-snapshot
Consumption and Portfolio Decisions when Expected Returns are Time Varying
inferredcites →https://doi.org/10.1214/105051604000000738openalex-snapshot
Utility maximization with a stochastic clock and an unbounded random endowment
inferredcites →https://doi.org/10.1214/105051606000000259openalex-snapshot
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
inferredcites →https://doi.org/10.1214/105051606000000529openalex-snapshot
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
inferredcites →https://doi.org/10.1214/aoap/1029962818openalex-snapshot
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
inferredcites →https://doi.org/10.1287/mnsc.1120.1623openalex-snapshot
Solving Constrained Consumption–Investment Problems by Simulation of Artificial Market Strategies
inferredcites →https://doi.org/10.1287/opre.1060.0279openalex-snapshot
Evaluating Portfolio Policies: A Duality Approach
inferredcites →https://doi.org/10.2307/1924939openalex-snapshot
Measuring Risk Aversion: An Alternative Approach
inferredcites →https://doi.org/10.2307/3594995openalex-snapshot
Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
inferredcites →https://doi.org/10.3386/w3989openalex-snapshot
Intertemporal Asset Pricing Without Consumption Data
inferredcites →https://doi.org/10.3386/w7377openalex-snapshot
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.2643322openalex-extracted
Sensitivity of Optimal Consumption Streams
inferred← citeshttps://doi.org/10.2139/ssrn.3278294openalex-extracted
Continuity of Utility Maximization under Weak Convergence
inferred← citeshttps://doi.org/10.1007/s00245-020-09699-8openalex-snapshot
Utility Maximization Problem with Transaction Costs: Optimal Dual Processes and Stability
inferred← citeshttps://doi.org/10.1007/s00780-019-00388-1openalex-snapshot
Sensitivity analysis of the utility maximisation problem with respect to model perturbations
inferred← citeshttps://doi.org/10.1007/s11579-017-0209-9openalex-snapshot
Sensitivity analysis for expected utility maximization in incomplete Brownian market models
inferred← citeshttps://doi.org/10.1007/s11579-020-00274-xopenalex-snapshot
Continuity of utility maximization under weak convergence
inferred← citeshttps://doi.org/10.1016/j.spa.2018.06.011openalex-snapshot
Sensitivity of optimal consumption streams
inferred← citeshttps://doi.org/10.1016/j.spa.2020.01.003openalex-snapshot
Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
inferred← citeshttps://doi.org/10.1214/19-aap1513openalex-snapshot
Trading with small nonlinear price impact
inferred← citeshttps://doi.org/10.3934/mcrf.2025049openalex-snapshot
Weak convergence of utility-risk portfolios
inferred← citeshttps://doi.org/10.7302/56openalex-snapshot
Three Problems in Stochastic Control and Applications
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