Exponential utility maximization in an incomplete market with defaults (Q428526)
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scientific article; zbMATH DE number 6049109
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| default for all languages | No label defined |
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| English | Exponential utility maximization in an incomplete market with defaults |
scientific article; zbMATH DE number 6049109 |
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Exponential utility maximization in an incomplete market with defaults (English)
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22 June 2012
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optimal investment
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exponential utility
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default time
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incomplete market
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dynamic programming
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backward stochastic differential equation (BSDE)
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0.8095217347145081
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0.7932778000831604
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0.7925692200660706
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0.791993260383606
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0.7899522185325623
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