Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
Oleksii Mostovyi, Mihai Sîrbu
| Year of publication: |
2024
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|---|---|
| Authors: | Mostovyi, Oleksii ; Sîrbu, Mihai |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 28.2024, 2, p. 553-613
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| Subject: | Asymptotic analysis | Duality theory | Incomplete market | Semimartingale | Theorie | Theory | Martingal | Martingale | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-024-00532-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015130342