A note on the existence of the power investor's optimizer
DOI10.1007/S00780-009-0111-2zbMATH Open1303.91198OpenAlexW2112646198MaRDI QIDQ483705FDOQ483705
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://figshare.com/articles/journal_contribution/A_note_on_the_existence_of_the_power_investor_s_optimizer/6476621
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Utility theory (91B16) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
Cites Work
- Title not available (Why is that?)
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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