Nonmyopic optimal portfolios in viable markets

DOI10.1007/s11579-013-0109-6zbMath1306.91123OpenAlexW3125422660MaRDI QIDQ2257043

Jakša Cvitanić, Semyon Malamud

Publication date: 23 February 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://resolver.caltech.edu/CaltechAUTHORS:20170622-142956786

zbMATH Keywords

equilibriumheterogeneous agentshedging demandnonmyopic optimal portfolios

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Heterogeneous agent models (91B69)

Cites Work

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