Optimal investment in a Lévy market (Q2494467)

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Optimal investment in a Lévy market
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    Statements

    title
    Optimal investment in a Lévy market (English)
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    author
    José Manuel Corcuera
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    João M. E. Guerra
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    David Nualart
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    Wim Schoutens
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    publication date
    28 June 2006
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    zbMATH Keywords
    Portfolio optimization
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    Levy processes
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    martingale measures
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    replicating portfolios
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    incomplete markets
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    HARA utility
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60G46
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    60H30
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    zbMATH DE Number
    5036567
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