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scientific article; zbMATH DE number 5263208
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scientific article; zbMATH DE number 5263208

    Statements

    author
    Mark H. A. Davis
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    publication date
    14 April 2008
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    zbMATH Keywords
    incomplete market
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    unhedgeable risk
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    optimal investment
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    utility indifference pricing
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    duality
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    parameter uncertainty
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    stochastic control
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    dynamic programming
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    91-02
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    93E20
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    zbMATH DE Number
    5263208
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