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...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2003
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