Utility maximization under a shortfall risk constraint
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Publication:952687
DOI10.1016/j.jmateco.2008.01.002zbMath1152.91031OpenAlexW1983341905MaRDI QIDQ952687
Publication date: 13 November 2008
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2008.01.002
semimartingalesutility maximizationconvex risk measuresoptimal portfolio choiceutility-based shortfall risk
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