Chaumont, Sébastien; Imkeller, Peter; Müller, Matthias; … - In: Vierteljahrshefte zur Wirtschaftsforschung 74 (2005) 2, pp. 175-195
investment option. Given one possible market price of risk each agent can maximize the exponential utility from three sources of … agents. By simulating their optimal investment into the climate index we obtain first insight into the dynamics of the market. …