Portfolio optimization under nonlinear utility
Gregor Heyne (Department of Mathematics, Humboldt University of Berlin, Berlin, Germany), Michael Kupper (Department Mathematics and Statistics, Universität Konstanz, Konstanz, Germany), Ludovic Tangpi (Department of Mathematics, University of Vienna, Vienna, Austria)
| Year of publication: |
August 2016
|
|---|---|
| Authors: | Heyne, Gregor ; Kupper, Michael ; Tangpi, Ludovic |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-37
|
| Subject: | Subsolutions of BSDEs | submartingale | convex duality | utility maximization | Portfolio-Management | Portfolio selection | Theorie | Theory | Nutzen | Utility | Erwartungsnutzen | Expected utility | Mathematische Optimierung | Mathematical programming | Nutzenfunktion | Utility function |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024916500291 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011524910