Exponential utility maximization in an incomplete market with defaults (Q428526)
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scientific article; zbMATH DE number 6049109
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential utility maximization in an incomplete market with defaults |
scientific article; zbMATH DE number 6049109 |
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Exponential utility maximization in an incomplete market with defaults (English)
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22 June 2012
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optimal investment
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exponential utility
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default time
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incomplete market
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dynamic programming
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backward stochastic differential equation (BSDE)
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