Optimal consumption and arbitrage in incomplete, finite state security markets
From MaRDI portal
Publication:1313172
DOI10.1007/BF02282058zbMath0806.90005MaRDI QIDQ1313172
Hiroshi Shirakawa, Hiromichi Kassai
Publication date: 9 February 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
finite horizon; discrete time; finite security market models; optimal consumption and portfolio selection; unique optimal primal control process
Related Items
On hedging in finite security markets, Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
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