Optimal investment in incomplete financial markets

We give a review of classical and recent results on maximization of expected utility for an investor who has the possibility of trading in a financial market. Emphasis will be given to the duality theory related to this convex optimization problem.(...)

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Year of publication:	2002
Authors:	Schachermayer, Walter
Publisher:	Wirtschaftsuniversität <Wien>
Subject:	Portfolio Selection \| Unvollkommener Markt \| Incomplete markets \| Nutzenmaximierung

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Extent:	346112 bytes 37 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Institut für Informationsverarbeitung - Publikationen Arbeitspapier ; 2002, 66
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005844798