Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

Keyphrases

• Payment Function 100%
• Wealth Dynamics 100%
• Utility Maximization 100%
• Semimartingale Models 100%
• Friction 50%
• Cash Flow 50%
• Asset Returns 50%
• Optimal Allocation 50%
• Bounded Variation 50%
• Portfolio Choice 50%
• Lending Rate 50%
• Large Shareholders 50%
• Convex Duality 50%
• Duality Techniques 50%
• Utility Consumption 50%
• Tempered Stable 50%
• Neoclassical Economy 50%
• Verification Theorem 50%
• Separation Mode 50%
• Non-Markovian 50%
• Borrowing Rates 50%
• Martingale Duality 50%
• Constant Returns to Scale 50%
• Inada Conditions 50%
• Aggregate Shocks 50%
• Allocation Proportion 50%
• Cash Inflow 50%
• Drift Term 50%
• Model with Jumps 50%
• Financing Cost 50%
• Risk Averse Utility 50%
• Expected Risk 50%
• Precautionary Saving 50%
• Mutual Fund Separation Theorem 50%
• Semimartingale Market Model 50%
• Random Utility 50%

Economics, Econometrics and Finance

• Wealth 100%
• Utility Maximization 100%
• Investors 50%
• Cash Flow 50%
• Capital Market Returns 50%
• Returns to Scale 50%
• Portfolio Choice 50%
• Loan Rate 50%
• Precautionary Saving 50%