Optimal consumption and arbitrage in incomplete, finite state security markets

DOI10.1007/BF02282058zbMath0806.90005MaRDI QIDQ1313172

Hiroshi Shirakawa, Hiromichi Kassai

Publication date: 9 February 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

finite horizondiscrete timefinite security market modelsoptimal consumption and portfolio selectionunique optimal primal control process

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Application models in control theory (93C95)

Related Items (2)

On hedging in finite security markets ⋮ Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

Cites Work

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