OPTIMAL CONTINGENT CLAIMS AND CONSUMPTION

DOI10.1142/S0219024905003086zbMath1139.91339OpenAlexW2135018065MaRDI QIDQ5462702

Daheng Peng, Mao'an Han

Publication date: 3 August 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003086

zbMATH Keywords

utilityconsumptionpayoff functionpreference structureContingent claim

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Optimal trading strategy for an investor: the case of partial information
• Utility maximization with partial information

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