On the dual problem of utility maximization in incomplete markets
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Publication:5965368
DOI10.1016/j.spa.2015.10.009zbMath1333.91050arXiv1510.08323OpenAlexW2164729024MaRDI QIDQ5965368
Lingqi Gu, Junjian Yang, Yi-Qing Lin
Publication date: 3 March 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.08323
Related Items (3)
Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Conditional Davis pricing
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