The asymptotic elasticity of utility functions and optimal investment in incomplete markets

DOI10.1214/aoap/1029962818zbMath0967.91017OpenAlexW1979627408MaRDI QIDQ1578577

Dmitry Kramkov, Walter Schachermayer

Publication date: 4 September 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962818

zbMATH Keywords

utility functionmarket modelssemimartingaleLegendre transformation

Mathematics Subject Classification ID

Utility theory (91B16) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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