Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951)
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scientific article; zbMATH DE number 4179077
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio for a small investor in a market model with discontinuous prices |
scientific article; zbMATH DE number 4179077 |
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Optimal portfolio for a small investor in a market model with discontinuous prices (English)
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1990
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consumption-investment problem
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stochastic equation
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jump-process
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martingale representation
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Lagrange multiplier
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