Wealth optimization in an incomplete market driven by a jump-diffusion process

Journal of Mathematical Economics

Volumn 35, Issue 2, 2001, Pages 259-287

  Bellamy, Nadine ^a  

^a UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

Author keywords

Equivalent martingale measure; Optimization problem; Portfolio; Utility function

Indexed keywords

EID: 0042350867     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4068(00)00068-9     Document Type: Article

References (14)

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