Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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Publication:1429115
DOI10.1214/aoap/1069786508zbMath1091.91036OpenAlexW2131009816MaRDI QIDQ1429115
Walter Schachermayer, Dmitry Kramkov
Publication date: 30 March 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoap/1069786508
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Cites Work
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- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Convex Analysis
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