On level curves of value functions in optimization models of expected utility.

DOI10.1111/1467-9965.00097MaRDI QIDQ2707154zbMATH OpenOpenAlexFDO

Authors Cristian-Ioan Tiu, Thaleia Zariphopoulou

Publication date 29 March 2001

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00097

zbMATH Keywords

derivative priceslevel setsportfolio optimizationtransaction costs

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Auctions, bargaining, bidding and selling, and other market models (91B26)

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