Utility maximization under a shortfall risk constraint (Q952687): Difference between revisions

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Property / DOI: 10.1016/j.jmateco.2008.01.002 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.jmateco.2008.01.002 / rank
 
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Latest revision as of 09:39, 10 December 2024

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Utility maximization under a shortfall risk constraint
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    Utility maximization under a shortfall risk constraint (English)
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    13 November 2008
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    utility maximization
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    optimal portfolio choice
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    utility-based shortfall risk
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    convex risk measures
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    semimartingales
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