Optimal investment in a Lévy market
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Publication:2494467
DOI10.1007/s00245-005-0846-xzbMath1099.91059MaRDI QIDQ2494467
David Nualart, Wim Schoutens, João M. E. Guerra, José Manuel Corcuera
Publication date: 28 June 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-005-0846-x
incomplete markets; Levy processes; HARA utility; martingale measures; Portfolio optimization; replicating portfolios
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G46: Martingales and classical analysis
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