On Level Curves of Value Functions in Optimization Models of Expected Utility

DOI10.1111/1467-9965.00097zbMath1034.91027OpenAlexW1996439016MaRDI QIDQ2707154

Thaleia Zariphopoulou, Cristian-Ioan Tiu

Publication date: 29 March 2001

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00097

zbMATH Keywords

portfolio optimizationtransaction costslevel setsderivative prices

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Auctions, bargaining, bidding and selling, and other market models (91B26)

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