Price systems constructed by optimal dynamic portfolios.

DOI10.1007/s001860000049zbMath1054.91042OpenAlexW2005790853MaRDI QIDQ1403171

Manfred Schäl

Publication date: 2000

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860000049

zbMATH Keywords

dynamic programmingutility maximizationmartingale measureoptimal dynamic portfoliopricing of options

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Dynamic programming (90C39) Optimal stochastic control (93E20)

Related Items

Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability, On utility maximization in discrete-time financial market models, Market viability and martingale measures under partial information