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~person:"Sircar, Ronnie"
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Utility maximization
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convex duality
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incomplete markets
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Optimal investment with derivative securities
Ílhan, Aytaç
;
Jonsson, Mattias
;
Sircar, Ronnie
- In:
Finance and Stochastics
9
(
2005
)
4
,
pp. 585-595
concavity of the utility-
indifference
price
as a function of the static positions, is that, in a quite general incomplete …
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