Hedging in incomplete markets with HARA utility

Journal of Economic Dynamics and Control

Volumn 21, Issue 4-5, 1997, Pages 753-782

  Duffie, Darrell ^a   Fleming, Wendell ^d   Soner, H Mete ^b   Zariphopoulou, Thaleia ^c  

^a STANFORD UNIVERSITY   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

^c UNIVERSITY OF WISCONSIN MADISON   (United States)

^d NONE

Author keywords

Hamilton Jacobi Bellman equation; Incomplete markets; Optimal portfolio choice; Viscosity solution

Indexed keywords

EID: 0031138980     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00002-x     Document Type: Article

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