Optimal investment with an unbounded randon endowment and utility-based pricing

Mathematical Finance

Volumn 19, Issue 1, 2009, Pages 129-159

  Owen, Mark P ^a   Žitković, Gordan ^b  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

Incomplete markets; Marginal utility based price processes; Random endowment; Utility indifference prices; Utility maximization

Indexed keywords

EID: 58149529844     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2008.00360.x     Document Type: Article

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