Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Mauricio Junca, Rafael Serrano
| Year of publication: |
2021
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|---|---|
| Authors: | Junca, Mauricio ; Serrano, Rafael |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 15.2021, 4, p. 775-809
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| Subject: | Utility maximization | Portfolio choice | Nonlinear wealth | Martingale method | Convex duality | Semimartingale characteristics | Portfolio-Management | Portfolio selection | Theorie | Theory | Martingal | Martingale | Erwartungsnutzen | Expected utility | Nutzenfunktion | Utility function | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Vermögen | Wealth |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-021-00296-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012616858