A super-martingale property of the optimal portfolio process

DOI10.1007/s007800200096zbMath1039.91030MaRDI QIDQ1424719

Walter Schachermayer

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200096

zbMATH Keywords

duality; incomplete markets; utility maximization

Mathematics Subject Classification ID

90C26: Nonconvex programming, global optimization

91B14: Social choice

91G10: Portfolio theory

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