Utility Maximization Under Bounded Expected Loss

DOI10.1080/15326340903088495zbMath1187.91198OpenAlexW2106391824MaRDI QIDQ3396371

Ralf Wunderlich, Jörn Sass, Abdelali Gabih

Publication date: 18 September 2009

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340903088495

zbMATH Keywords

Malliavin calculusportfolio optimizationutility maximizationexpected shortfallrisk constraint

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

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