A generalized clark representation formula, with application to optimal portfolios

DOI10.1080/17442509108833682zbMath0727.60070OpenAlexW2028757433MaRDI QIDQ3349710

Publication date: 1991

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833682

zbMATH Keywords

optimal portfolios Girsanov's transformation Clark's representation formula Sobolev spaces on Wiener space

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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