Horizon dependence of utility optimizers in incomplete models
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Publication:693036
DOI10.1007/s00780-012-0171-6zbMath1262.91128arXiv1006.5057MaRDI QIDQ693036
Publication date: 7 December 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1006.5057
Brownian motion; expected utility theory; incompleteness; interest rate process; market price of risk process
90C46: Optimality conditions and duality in mathematical programming
60G44: Martingales with continuous parameter
91G10: Portfolio theory
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Three Essays on Exponential Hedging with Variable Exit Times, Continuity of utility maximization under weak convergence, BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS
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