Facelifting in utility maximization
Year of publication: |
January 2016
|
---|---|
Authors: | Larsen, Kasper ; Soner, Halil Mete ; Žitković, Gordan |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 1, p. 99-121
|
Subject: | Boundary layer | Convex analysis | Convex duality | Facelift | Financial mathematics | Incomplete markets | Markov processes | Utility maximization | Unspanned endowment | Theorie | Theory | Finanzmathematik | Mathematical finance | Unvollkommener Markt | Incomplete market | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Markov-Kette | Markov chain | Mathematik | Mathematics |
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