Portfolio Optimization and Martingale Measures

DOI10.1111/1467-9965.00095zbMath1016.91051OpenAlexW2039057164MaRDI QIDQ2707151

Manfred Schäl

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00095

zbMATH Keywords

dynamic programmingmartingale measurerisk aversionfinancial market

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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