Optimal Sure Portfolio Plans
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Publication:4345909
DOI10.1111/J.1467-9965.1991.TB00008.XzbMATH Open0900.90050OpenAlexW1989818150MaRDI QIDQ4345909FDOQ4345909
Authors: Lucien Foldes 
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00008.x
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Cites Work
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- Survey of Measurable Selection Theorems
- Calcul stochastique et problèmes de martingales
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- Quelques applications de la formule de changement de variables pour les semimartingales
- Sur l'int�grabilit� uniforme des martingales exponentielles
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- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Maximum theorems for convex structures with an application to the theory of optimal intertemporal allocation
- Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
- Optimal Saving and Risk in Continuous Time
Cited In (4)
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Minimal entropy preserves the Lévy property: how and why
- Risk-sensitive benchmarked asset management
- NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
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