Portfolios and risk premia for the long run

Annals of Applied Probability

Volumn 22, Issue 1, 2012, Pages 239-284

  Guasoni, Paolo ^a,b   Robertson, Scott ^c  

^a Boston University   (United States)

^b DUBLIN CITY UNIVERSITY   (Ireland)

^c CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Derivatives pricing; Incomplete markets; Long run; Portfolio choice

Indexed keywords

EID: 84866274541     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AAP767     Document Type: Article

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