Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Year of publication: |
2021
|
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Authors: | Junca, Mauricio ; Serrano, Rafael |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 4, p. 775-809
|
Subject: | Utility maximization | Portfolio choice | Nonlinear wealth | Martingale method | Convex duality | Semimartingale characteristics | Theorie | Theory | Portfolio-Management | Portfolio selection | Martingal | Martingale | Mathematische Optimierung | Mathematical programming | Erwartungsnutzen | Expected utility | Nichtlineare Regression | Nonlinear regression |
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