Explicit solutions of some utility maximization problems in incomplete markets

DOI10.1016/j.spa.2004.05.007zbMath1152.91555OpenAlexW2032428649MaRDI QIDQ2485800

Michael R. Tehranchi

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.05.007

zbMATH Keywords

Incomplete marketsPortfolio optimizationExpected utilityDistortion

Mathematics Subject Classification ID

Brownian motion (60J65)

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