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Annals of Applied Probability

Volumn 16, Issue 3, 2006, Pages 1352-1384

On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets

(2) Kramkov, Dmitry a Sîrbu, Mihai b

a CARNEGIE MELLON UNIVERSITY (United States)

b Och Spine at New York Presbyterian Hospitals (United States)

Author keywords

Duality theory; Incomplete markets; Legendre transformation; Risk aversion; Risk tolerance; Utility maximization

Indexed keywords

EID: 33750495341 PISSN: 10505164 EISSN: 10505164 Source Type: Journal
DOI: 10.1214/105051606000000259 Document Type: Article

Times cited : (35)

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