Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

Annals of Applied Probability

Volumn 15, Issue 4, 2005, Pages 2393-2421

  Bouchard, Bruno ^a   Pham, Huyên ^a  

^a CREST   (France)

Author keywords

Multivariate nonsmooth utility maximization; Returns; Robust no arbitrage; Super hedging theorem

Indexed keywords

EID: 30844455316     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/105051605000000467     Document Type: Article

References (13)

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