Optimal investment with derivative securities

Finance and Stochastics

Volumn 9, Issue 4, 2005, Pages 585-595

  Ílhan, Aytaç ^a   Jonsson, Mattias ^b   Sircar, Ronnie ^c  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b UNIVERSITY OF MICHIGAN   (United States)

^c Princeton University   (United States)

Author keywords

Convex duality; Incomplete markets; Indifference price; Utility maximization

Indexed keywords

EID: 24144488718     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-005-0154-y     Document Type: Article

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