Portfolio optimization and martingale measures (Q2707151)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization and martingale measures |
scientific article |
Statements
29 March 2001
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financial market
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martingale measure
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risk aversion
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dynamic programming
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Portfolio optimization and martingale measures (English)
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The author studies connections between risk aversion and martingale measure in a discrete-time incomplete financial market. A number of financial market models are developed and the models are validated with theorems and lemmas. No numerical experiments are performed.
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