Numéraire-invariant preferences in financial modeling

DOI10.1214/09-AAP669zbMath1247.91209arXiv0903.3736MaRDI QIDQ1958497

Constantinos Kardaras

Publication date: 4 October 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.3736

zbMATH Keywords

preferenceschoice rulesinvestment-consumption problemnuméraire-invarianceoptional measuresrandom time-horizon utility maximization

Mathematics Subject Classification ID

Utility theory (91B16) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Individual preferences (91B08)

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