Horizon dependence of utility optimizers in incomplete models

DOI10.1007/s00780-012-0171-6zbMath1262.91128arXiv1006.5057OpenAlexW2136738853MaRDI QIDQ693036

Hang Yu, Kaspar Larsen

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.5057

zbMATH Keywords

Brownian motionexpected utility theoryincompletenessinterest rate processmarket price of risk process

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (4)

Three Essays on Exponential Hedging with Variable Exit Times ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Continuity of utility maximization under weak convergence ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

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