Optimal Asset Allocation under Forward Exponential Performance Criteria
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Publication:3626714
DOI10.1214/074921708000000435zbMath1175.91163MaRDI QIDQ3626714
Thaleia Zariphopoulou, Marek Musiela
Publication date: 22 May 2009
Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/074921708000000435
stochastic optimization; incomplete markets; asset allocation; differential performance input; forward exponential performance
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