Horizon dependence of utility optimizers in incomplete models (Q693036)
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scientific article; zbMATH DE number 6113645
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| English | Horizon dependence of utility optimizers in incomplete models |
scientific article; zbMATH DE number 6113645 |
Statements
Horizon dependence of utility optimizers in incomplete models (English)
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7 December 2012
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incompleteness
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Brownian motion
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market price of risk process
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interest rate process
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expected utility theory
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0.7931187152862549
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0.7606667280197144
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0.7601867318153381
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0.7556159496307373
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0.7551127076148987
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