Utility maximization in incomplete markets

Article Properties
Cite
Hu, Ying, et al. “Utility Maximization in Incomplete Markets”. The Annals of Applied Probability, vol. 15, no. 3, 2005, https://doi.org/10.1214/105051605000000188.
Hu, Y., Imkeller, P., & Müller, M. (2005). Utility maximization in incomplete markets. The Annals of Applied Probability, 15(3). https://doi.org/10.1214/105051605000000188
Hu Y, Imkeller P, Müller M. Utility maximization in incomplete markets. The Annals of Applied Probability. 2005;15(3).
Journal Categories
Science
Mathematics
Science
Mathematics
Probabilities
Mathematical statistics
You May Also Like
Refrences
Title Journal Journal Categories Citations Publication Date
10.1007/978-3-540-44644-6_5
10.1007/978-3-662-12429-1_20
Adapted solution of a backward stochastic differential equation Systems & Control Letters
  • Technology: Mechanical engineering and machinery
  • Technology: Manufactures: Production management. Operations management
  • Technology: Mechanical engineering and machinery
  • Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics
  • Technology: Engineering (General). Civil engineering (General)
 1,512 1990
10.1016/0022-0531(71)90038-X
The asymptotic elasticity of utility functions and optimal investment in incomplete markets The Annals of Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 525 1999
Citations
Title Journal Journal Categories Citations Publication Date
Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models

 Applied Mathematics & Optimization
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2024
Optimal investment in a large population of competitive and heterogeneous agents Finance and Stochastics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Existence of an equilibrium with limited participation Finance and Stochastics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility Methodology and Computing in Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2024
Density analysis for coupled forward–backward SDEs with non-Lipschitz drifts and applications Stochastic Processes and their Applications
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2024
Citations Analysis
Category Category Repetition
Science: Mathematics161
Science: Mathematics: Probabilities. Mathematical statistics99
Social Sciences: Statistics45
Social Sciences: Finance45
Social Sciences: Economic theory. Demography: Economics as a science45
Social Sciences: Commerce: Business43
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods39
Technology: Engineering (General). Civil engineering (General)22
Technology: Manufactures: Production management. Operations management15
Technology: Mechanical engineering and machinery12
Social Sciences: Sociology (General)3
Social Sciences3
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics3
Technology: Technology (General): Industrial engineering. Management engineering: Information technology3
Technology: Technology (General): Industrial engineering. Management engineering2
Medicine: Internal medicine: Special situations and conditions: Industrial medicine. Industrial hygiene1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks1
Political science1
Science: Mathematics: Instruments and machines: Electronic computers. Computer science1
The category Science: Mathematics 161 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Mutual Fund Portfolio Choice in the Presence of Dynamic Flows and was published in 2002. The most recent citation comes from a 2024 study titled Relative Wealth Concerns with Partial Information and Heterogeneous Priors. This article reached its peak citation in 2016, with 22 citations. It has been cited in 65 different journals, 3% of which are open access. Among related journals, the Stochastic Processes and their Applications cited this research the most, with 27 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year