A reinterpretation of the optimal demand for risky assets in fund separation theorems
Romain Deguest, Lionel Martellini, Vincent Milhau
| Year of publication: |
September 2018
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|---|---|
| Authors: | Deguest, Romain ; Martellini, Lionel ; Milhau, Vincent |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 64.2018, 9, p. 4333-4347
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| Subject: | intertemporal hedging | utility maximization | optimal portfolio | Portfolio-Management | Portfolio selection | Theorie | Theory | Hedging | Risiko | Risk | Nutzenfunktion | Utility function |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2017.2765 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011921525