Risk Averse Asymptotics and the Optional Decomposition
From MaRDI portal
Publication:5307623
DOI10.1137/S0040585X97982384zbMath1255.91400OpenAlexW2001892493MaRDI QIDQ5307623
Christopher Summer, Peter Grandits
Publication date: 17 September 2007
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97982384
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Risk aversion asymptotics for power utility maximization ⋮ Risk averse asymptotics in a Black--Scholes market on a finite time horizon ⋮ Convergence of utility indifference prices to the superreplication price: the whole real line case
This page was built for publication: Risk Averse Asymptotics and the Optional Decomposition
