Price systems constructed by optimal dynamic portfolios.
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Publication:1403171
DOI10.1007/s001860000049zbMath1054.91042MaRDI QIDQ1403171
Publication date: 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860000049
dynamic programming; utility maximization; martingale measure; optimal dynamic portfolio; pricing of options
60G42: Martingales with discrete parameter
90C39: Dynamic programming
93E20: Optimal stochastic control
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