Admissible Strategies in Semimartingale Portfolio Selection
نویسندگان
چکیده
منابع مشابه
Admissible Strategies in Semimartingale Portfolio Selection
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal portfolio selection with expected utility preferences this question has been the focus of considerable attention over the last twenty years. We propose a novel notion of admissibility that has many pleasant features – ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2011
ISSN: 0363-0129,1095-7138
DOI: 10.1137/090774458