DOI10.1007/s00186-011-0347-4zbMath1232.49046MaRDI QIDQ639356
Peter Grandits, Stefan Thonhauser
Publication date: 20 September 2011 Published in: Mathematical Methods of Operations Research (Search for Journal in Brave) Full work available at URL: https://doi.org/10.1007/s00186-011-0347-4
zbMATH Keywords
utility maximization; Black-Scholes market; risk aversion asymptotics
Mathematics Subject Classification ID
49N90: Applications of optimal control and differential games
91G10: Portfolio theory