Utility maximization in incomplete markets with random endowment

A Course in Functional Analysis.

T. W. Gamelin, John B. Conway · American Mathematical Monthly · 1986 · 2.4K citations

Natural Sciences, Mathematics, Mathematical Physics +7

A general version of the fundamental theorem of asset pricing

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1994 · 1.5K citations

Business, Economics, Finance +13

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability · 1999 · 986 citations · Full text

Business, Economics, Finance +15

Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve et al. · SIAM Journal on Control and Optimization · 1991 · 828 citations

Business, Economics, Finance +16

The fundamental theorem of asset pricing for unbounded stochastic processes

Freddy Delbaen, Walter Schachermayer · Mathematische Annalen · 1998 · 739 citations

Engineering, Economics, Finance +16