Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization

DOI10.1007/s11424-010-9002-zzbMath1255.93155OpenAlexW2137017117MaRDI QIDQ1937772

Publication date: 31 January 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-9002-z

zbMATH Keywords

incomplete market trading strategy backward stochastic differential equation Pareto optimum cooperative investment stochastic utility agents capital optimal cooperative strategies stochastic optimization method

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Portfolio theory (91G10)

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