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Volumn 45, Issue 4, 2002, Pages 346-361

An economic premium principle in a continuous-time economy

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EID: 33845220290     PISSN: 04534514     EISSN: None     Source Type: Journal    
DOI: 10.15807/jorsj.45.346     Document Type: Article
Times cited : (1)

References (14)
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    • H. Bühlmann: An economic premium principle. Astin Bulletin, 11 (1980) 52-60.
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    • Bühlmann, H.1
  • 3
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    • The general economic premium principle
    • H. Bühlmann: The general economic premium principle. Astin Bulletin, 14 (1983)13-21.
    • (1983) Astin Bulletin , vol.14 , pp. 13-21
    • Bühlmann, H.1
  • 4
    • 0030637289 scopus 로고    scopus 로고
    • Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
    • D. Cuoco: Optimal consumption and equilibrium prices with portfolio constraints and stochastic income. Journal of Economic Theory, 72 (1997) 33-73.
    • (1997) Journal of Economic Theory , vol.72 , pp. 33-73
    • Cuoco, D.1
  • 5
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    • Martingales and arbitrage in multiperiod securities markets
    • M. J. Harrison and D. M. Kreps: Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20 (1979) 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, M.J.1    Kreps, D.M.2
  • 6
    • 41649091143 scopus 로고
    • Martingales and stochastic integrals in the theory of continuous trading
    • M. J. Harrison and S. R. Pliska: Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Applications, 11 (1981) 215-260.
    • (1981) Stochastic Processes and Their Applications , vol.11 , pp. 215-260
    • Harrison, M.J.1    Pliska, S.R.2
  • 12
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    • Optimal portfolio and consumption decisions for a "small investor" on a finite horizon
    • I. Karatzas, J. P. Lehoczky and S. E. Shreve: Optimal portfolio and consumption decisions for a "small investor" on a finite horizon. SIAM J. of Control and Optimization, 25 (1987) 1157-1586.
    • (1987) SIAM J. of Control and Optimization , vol.25 , pp. 1157-1586
    • Karatzas, I.1    Lehoczky, J.P.2    Shreve, S.E.3
  • 13
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    • Optimum consumption and portfolio rules in a continuous-time model
    • R. C. Merton: Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3 (1971) 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.C.1


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