Admissible strategies in semimartingale portfolio selection

SIAM Journal on Control and Optimization

Volumn 49, Issue 1, 2011, Pages 42-72

  Biagini, Sara ^a   Černý, Aleš ^b  

^a UNIVERSITY OF PISA   (Italy)

^b CITY UNIVERSITY   (United Kingdom)

Author keywords

Iocalization and I localization; Convex duality; Incomplete market; Nonlocally bounded semimartingale; Orlicz space; S martingale measure; Utility maximization

Indexed keywords

CONVEX DUALITY; INCOMPLETE MARKET; ORLICZ SPACES; S-MARTINGALE MEASURE; SEMIMARTINGALES; UTILITY MAXIMIZATION;

ELASTICITY; OPTIMIZATION;

COMMERCE;

EID: 79952309768     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/090774458     Document Type: Article

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