Hedging in incomplete markets with HARA utility (Q1391763): Difference between revisions
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Created claim: Wikidata QID (P12): Q57635995, #quickstatements; #temporary_batch_1706814575051 |
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| Property / author: J. Darrell Duffie / rank | |||
Revision as of 22:35, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging in incomplete markets with HARA utility |
scientific article |
Statements
Hedging in incomplete markets with HARA utility (English)
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23 July 1998
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optimal portfolio choice
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incomplete markets
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Hamilton-Jacobi-Bellman equation
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viscosity solution
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