Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets (Q6131470)
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scientific article; zbMATH DE number 7827730
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| English | Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets |
scientific article; zbMATH DE number 7827730 |
Statements
Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets (English)
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5 April 2024
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generalized stochastic differential utility
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non-Lipschitz condition
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Heston model
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verification theorem
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variability process
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0.8705422282218933
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0.8638833165168762
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0.8506410121917725
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0.8423913717269897
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0.8400394320487976
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