Optimal portfolio for a small investor in a market model with discontinuous prices
type: Item
instance of: scholarly article
title: Optimal portfolio for a small investor in a market model with discontinuous prices
zbMATH Open document ID: 0715.90014
DOI: 10.1007/BF01447332
author: Monique Pontier
author: Monique Jeanblanc
published in: Applied Mathematics and Optimization
publication date: 1990-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 4179077
zbMATH Keywords: consumption-investment problem
zbMATH Keywords: stochastic equation
zbMATH Keywords: jump-process
zbMATH Keywords: martingale representation
zbMATH Keywords: Lagrange multiplier
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4179077