On the true submartingale property, d'après Schachermayer
Yuri Kabanov; Christophe Stricker
Séminaire de probabilités de Strasbourg (2002)
- Volume: 36, page 413-414
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top- [1] Ansel J.-P., Stricker C.Couverture des actifs contingents. Ann. Inst. Henri Poincaré, 30 (1994), 2, 303-315. Zbl0796.60056MR1277002
- [2] Schachermayer W.How potential investments may change the optimal portfolio for the exponential utility. Preprint, June 2001.