Risk averse asymptotics in a Black--Scholes market on a finite time horizon

DOI10.1007/S00186-011-0347-4zbMath1232.49046OpenAlexW1998003254MaRDI QIDQ639356

Peter Grandits, Stefan Thonhauser

Publication date: 20 September 2011

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-011-0347-4

zbMATH Keywords

utility maximizationBlack-Scholes marketrisk aversion asymptotics

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Convergence of utility indifference prices to the superreplication price
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Risk Averse Asymptotics and the Optional Decomposition

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