Simple strategies in exponential utility maximization

Christophe Stricker

Séminaire de probabilités de Strasbourg (2002)

  • Volume: 36, page 415-418

How to cite

top

Stricker, Christophe. "Simple strategies in exponential utility maximization." Séminaire de probabilités de Strasbourg 36 (2002): 415-418. <http://eudml.org/doc/114103>.

@article{Stricker2002,
author = {Stricker, Christophe},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {exponential utility; semimartingale topology; stochastic integrals},
language = {eng},
pages = {415-418},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Simple strategies in exponential utility maximization},
url = {http://eudml.org/doc/114103},
volume = {36},
year = {2002},
}

TY - JOUR
AU - Stricker, Christophe
TI - Simple strategies in exponential utility maximization
JO - Séminaire de probabilités de Strasbourg
PY - 2002
PB - Springer - Lecture Notes in Mathematics
VL - 36
SP - 415
EP - 418
LA - eng
KW - exponential utility; semimartingale topology; stochastic integrals
UR - http://eudml.org/doc/114103
ER -

References

top
  1. [1] C. Dellacherie and P.A. Meyer. Probabilités et Potentiel. Chapitres V à VIII. Hermann1980. Zbl0464.60001MR566768
  2. [2] M. Émery. Une topologie sur l'espace des semimartingales. Séminaire de Prob. XIII, LNM721, 281-293, Springer1979. MR544800
  3. [3] Y. Kabanov, C. Stricker. On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. To appear in Mathematical Finance (2002). Zbl1073.91034MR1891731
  4. [4] P. Protter. Stochastic integration and differential equations. Springer1990. Zbl0694.60047MR1037262

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.