Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization

DOI10.1007/s11424-010-9002-zzbMath1255.93155MaRDI QIDQ1937772

Qing Zhou

Publication date: 31 January 2013

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-9002-z

zbMATH Keywords

incomplete market; trading strategy; backward stochastic differential equation; Pareto optimum; cooperative investment; stochastic utility; agents capital; optimal cooperative strategies; stochastic optimization method

Mathematics Subject Classification ID

93C41: Control/observation systems with incomplete information

93E20: Optimal stochastic control

91G10: Portfolio theory

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