Utility maximization in incomplete markets for unbounded processes

Finance and Stochastics

Volumn 9, Issue 4, 2005, Pages 493-517

  Biagini, Sara ^a   Frittelli, Marco ^b  

^a UNIVERSITY OF PERUGIA   (Italy)

^b UNIVERSITY OF FLORENCE   (Italy)

Author keywords

martingale measure; Arbitrage and preferences; Convex duality; Incomplete markets; Unbounded semimartingale; Utility maximization

Indexed keywords

EID: 24144484889     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-005-0163-x     Document Type: Article

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