Risk Aversion and Portfolio Selection in a Continuous-Time Model

DOI10.1137/10080871XzbMath1232.91639arXiv0805.0618OpenAlexW1978032559MaRDI QIDQ3115875

Jian-ming Xia

Publication date: 11 February 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0618

zbMATH Keywords

risk aversioncomparative staticsportfolio selection, Black-Scholes market

Mathematics Subject Classification ID

Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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