Generalised Sharpe Ratios and asset pricing in incomplete markets

European Finance Review

Volumn 7, Issue 2, 2003, Pages 191-233

  Černý, Aleš ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Arbitrage; Certainty equivalent; Duality and martingale methods; Generalised sharpe ratio; Good deal; Incomplete market; Minimal martingale measure; Optimal portfolio; Price bounds; Reward for risk measure

Indexed keywords

EID: 4043081259     PISSN: 13826662     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1024568429527     Document Type: Article

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