231 citations · 874 across the 46 of their papers we have counts for
Showing 2009 · q-fin.PMShow all
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q-fin.PM2009★ 23 cited
Power Utility Maximization in Constrained Exponential Lévy Models
Marcel Nutz
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraint…
q-fin.PM2009★ 16 cited
The Bellman equation for power utility maximization with semimartingales
Marcel Nutz
We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show…
q-fin.PM2009★ 34 cited
The Opportunity Process for Optimal Consumption and Investment with Power Utility
Marcel Nutz
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportun…