Admissible strategies in semimartingale portfolio selection
Year of publication: |
2009
|
---|---|
Authors: | Biagini, Sara ; Cerny, Ales |
Institutions: | Collegio Carlo Alberto, Università degli Studi di Torino |
Subject: | utility maximization | non locally bounded semimartingale | incomplete market | sigma-localization and I-localization | sigma-martingale measure | Orlicz space | convex duality |
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