Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete semima.
Abstract. Motivated by an optimal investment problem under time horizon uncer- tainty and when default may occur, we study a general structure for an ...
This paper solves the consumption-investment problem with Epstein-Zin utility on a random horizon. In an incomplete market, we take the random horizon to be a ...
Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete ...
He aims at maximizing the utility he draws from his final wealth measured by some utility function. The trading strate- gies he may choose to attain his ...
He aims at maximizing the utility he draws from his final wealth measured by some utility function. The trading strategies he may choose to attain his ...
Missing: path dependent
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this ...
Mar 19, 2009 · Abstract. We address the expected utility maximization from terminal wealth. The special feature of this paper is that we consider a ...
Our results. In the present paper, we investigate the stability properties of utility-maximization in a wide class of complete or incomplete financial models.
Missing: dependent | Show results with:dependent
Mar 8, 2004 · This also allows for an economic interpretation. Theorem 2.16 indicates an easy way to solve the utility maximization at hand: calculate v(y) ...