The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Annals of Applied Probability

Volumn 9, Issue 3, 1999, Pages 904-950

  Kramkov, D ^a   Schachermayer, W ^b  

^a STEKLOV MATHEMATICAL INSTITUTE   (Russian Federation)

^b VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Asymptotic elasticity of utility functions; Duality theory; Incomplete markets; Legendre transformation; Utility maximization

Indexed keywords

EID: 0033249382     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1029962818     Document Type: Article

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