An expansion in the model space in the context of utility maximization
Kasper Larsen, Oleksii Mostovyi, Gordan Žitković
| Year of publication: |
April 2018
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|---|---|
| Authors: | Larsen, Kasper ; Mostovyi, Oleksii ; Žitković, Gordan |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 2, p. 297-326
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| Subject: | Continuous semimartingales | Second-order expansion | Incomplete markets | Power utility | Convex duality | Optimal investment | Theorie | Theory | Unvollkommener Markt | Incomplete market | Portfolio-Management | Portfolio selection | Martingal | Martingale | Marktmacht | Market power | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Erwartungsnutzen | Expected utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0353-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945713