Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951): Difference between revisions
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Revision as of 21:53, 22 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio for a small investor in a market model with discontinuous prices |
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Optimal portfolio for a small investor in a market model with discontinuous prices (English)
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1990
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consumption-investment problem
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stochastic equation
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jump-process
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martingale representation
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Lagrange multiplier
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