Portfolio optimization under nonlinear utility
Year of publication: |
August 2016
|
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Authors: | Heyne, Gregor ; Kupper, Michael ; Tangpi, Ludovic |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-37
|
Subject: | Subsolutions of BSDEs | submartingale | convex duality | utility maximization | Theorie | Theory | Portfolio-Management | Portfolio selection | Nutzen | Utility | Mathematische Optimierung | Mathematical programming | Erwartungsnutzen | Expected utility |
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