scientific article; zbMATH DE number 2174800
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Publication:4682148
zbMath1104.91042MaRDI QIDQ4682148
Publication date: 10 June 2005
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Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)
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Strong supermartingales and limits of nonnegative martingales ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ On utility maximization without passing by the dual problem ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Risk aversion for nonsmooth utility functions ⋮ Super-replication and utility maximization in large financial markets ⋮ Utility maximization with addictive consumption habit formation in incomplete semimartingale markets ⋮ Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
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