On level curves of value functions in optimization models of expected utility

Mathematical Finance

Volumn 10, Issue 2, 2000, Pages 323-338

  Cristian Ioan, Tiu ^a   Zariphopoulou, Thaleia ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Derivative prices; Level sets; Portfolio optimization; Transaction costs

Indexed keywords

EID: 0034417903     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00097     Document Type: Article

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