Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951): Difference between revisions

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-Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
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+Monique Jeanblanc-Picqué
@@ Property / author: Monique Jeanblanc-Picqué / rank @@
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+Admissible investment strategies in continuous trading
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+Q3929443
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@@ Property / cites work @@
+Convergence of martingales on manifolds of negative curvature
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@@ Property / cites work @@
+Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
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+An extension of the Black-Scholes model of security valuation
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+Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
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+Q4086524
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+Q4122568
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@@ Property / cites work @@
+Existence and regularity results for solutions of second-order, elliptic, integrodifferential operators
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+Martingales and arbitrage in multiperiod securities markets
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@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
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@@ Property / cites work @@
+Q3959169
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@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
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@@ Property / cites work @@
+On the pricing of American options
@@ Property / cites work: On the pricing of American options / rank @@
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@@ Property / cites work @@
+Optimization Problems in the Theory of Continuous Trading
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@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
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+Sur l'int�grabilit� uniforme des martingales exponentielles
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+Q3961832
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+Optimum consumption and portfolio rules in a continuous-time model
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+Option pricing when underlying stock returns are discontinuous
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+Integral representation in the theory of continuous trading
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+Q3862174
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+Publication:751951