Towards the determination of utility preference from optimal portfolio selections

Applied Mathematical Finance

Volumn 8, Issue 1, 2001, Pages 1-26

  Atkinson, Colin ^a   Mokkhavesa, Sutee ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Complete Solutions; Optimal Resource Allocation; Partial; Utility Preference

Indexed keywords

EID: 0346828749     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860110039801     Document Type: Article

References (6)

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2. Atkinson, C., Pliska, S. R., and Wilmott, P., 1997. Portfolio management with transaction costs. Proceedings of the Royal Society, London A, 453: 551–562.
3. Davis, M. H. A., and Norman, A., 1990. Portfolio selection with transaction costs. Mathematics and Operational Research, 15: 676–713.
4. Duffie, D., 1988. Security Markets Stochastic Models, San Diego, CA: Academic Press.
5. Merton, R. C., 1990. Continuous Time Finance, Cambridge, MA: Blackwell.
6. Neftci, S. N., 1990. An Introduction to the Mathematics of Financial Derivatives, San Diego, CA: Academic Press.