Optimal investment in incomplete markets when wealth may become negative.

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Publication:1872427

DOI10.1214/AOAP/1015345346zbMath1049.91085OpenAlexW1996450459MaRDI QIDQ1872427

Walter Schachermayer

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1015345346


zbMATH Keywords

dualityutility maximization


Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Generalizations of martingales (60G48) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)


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