Necessary and Sufficient Conditions in the Problem of Optimal Investment in Incomplete Markets
Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true. In the previous p...
| Veröffentlicht in: | The Annals of Applied Probability. - Institute of Mathematical Statistics. - 13(2003), 4, Seite 1504-1516 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
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2003
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| Zugriff auf das übergeordnete Werk: | The Annals of Applied Probability |
| Schlagworte: | Primary 90A09 Secondary 90C26 Utility maximization Incomplete markets Legendre transformation Duality theory Mathematics Economics Philosophy |
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