Wealth-path dependent utility maximization in incomplete markets
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Publication:1776021
DOI10.1007/s00780-004-0125-8zbMath1063.91029OpenAlexW2009611555MaRDI QIDQ1776021
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0125-8
Utility theory (91B16) Duality theory (optimization) (49N15) Portfolio theory (91G10) Problems with incomplete information (optimization) (49N30)
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