A counterexample concerning the variance-optimal martingale measure
Aleš Černý; Jan Kallsen
| Year of publication: |
2008
|
|---|---|
| Authors: | Černý, Aleš ; Kallsen, Jan |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 18.2008, 2, p. 305-316
|
| Subject: | Martingal | Martingale | Duales Optimierungsproblem | Dual optimization problem | CAPM | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003683288