Numéraire-invariant preferences in financial modeling
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Publication:1958497
DOI10.1214/09-AAP669zbMath1247.91209arXiv0903.3736MaRDI QIDQ1958497
Publication date: 4 October 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0903.3736
preferenceschoice rulesinvestment-consumption problemnuméraire-invarianceoptional measuresrandom time-horizon utility maximization
Utility theory (91B16) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Individual preferences (91B08)
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