Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

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Year of publication:	2001-12-20
Authors:	Kramkov, Dmitrij O. ; Schachermayer, Walter
Institutions:	Institut für Informationsverarbeitung und -wirtschaft <Wien>

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Extent:	202752 bytes 15 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Elektronische Publikationen Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science ; 84
Type of publication:	Book / Working Paper
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; G12 - Asset Pricing ; Subject matter and research method of business administration ; Operations Research. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841616