An expansion in the model space in the context of utility maximization
From MaRDI portal
Publication:1709603
DOI10.1007/s00780-017-0353-3zbMath1396.91692arXiv1410.0946MaRDI QIDQ1709603
Publication date: 6 April 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.0946
second-order expansion; incomplete markets; convex duality; optimal investment; continuous semimartingales; power utility
91G60: Numerical methods (including Monte Carlo methods)
93E20: Optimal stochastic control
60G44: Martingales with continuous parameter
91G10: Portfolio theory
