Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
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Publication:2230762
DOI10.1007/s11579-021-00296-zzbMath1471.91542OpenAlexW3140181217MaRDI QIDQ2230762
Rafael Serrano, Mauricio Junca
Publication date: 28 September 2021
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-021-00296-z
convex dualityutility maximizationportfolio choicemartingale methodsemimartingale characteristicsnonlinear wealth
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