Exponential utility maximization under model uncertainty for unbounded endowments
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Publication:670752
DOI10.1214/18-AAP1428zbMath1419.91285arXiv1610.00999WikidataQ115517779 ScholiaQ115517779MaRDI QIDQ670752
Publication date: 20 March 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.00999
Martingales with discrete parameter (60G42) Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Financial applications of other theories (91G80)
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