A secret to create a complete market from an incomplete market

DOI10.1016/J.AMC.2007.02.086zbMATH Open1193.91060OpenAlexW2042633848MaRDI QIDQ990426FDOQ990426

Authors: Aihua Zhang 

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.02.086

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zbMATH Keywords

incomplete marketcontinuous timeoptimal portfoliomartingale method

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Microeconomic theory
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Cited In (3)

• Optimal investment with multiple risky assets for an insurer in an incomplete market
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Optimal investment and risk control policies for an insurer in an incomplete market

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