Optimal portfolio for a small investor in a market model with discontinuous prices
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Publication:751951
DOI10.1007/BF01447332zbMath0715.90014MaRDI QIDQ751951
Monique Pontier, Monique Jeanblanc-Picqué
Publication date: 1990
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Lagrange multiplierstochastic equationmartingale representationconsumption-investment problemjump-process
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