Portfolio Selection in Incomplete Markets with Utility Maximisation
The problem of maximizing the expected utility is well understood in the context of a complete financial market. This dissertation studies the same problem in an arbitrage-free yet incomplete market. Jin and Zhou have characterized the set of the terminal wealths that can be replicated by admissible...
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| Định dạng: | Luận văn |
| Được phát hành: |
University of Oxford;Mathematics
2008
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