Optimal portfolios in Lévy markets under state-dependent bounded utility functions.

Figueroa-López, José E., and Ma, Jin. "Optimal portfolios in Lévy markets under state-dependent bounded utility functions.." International Journal of Stochastic Analysis 2010 (2010): Article ID 236587, 27 p.-Article ID 236587, 27 p.. <http://eudml.org/doc/230684>.

@article{Figueroa2010,
author = {Figueroa-López, José E., Ma, Jin},
journal = {International Journal of Stochastic Analysis},
keywords = {optimal portfolio; state-dependent utility function; dual variational approach; multiplicative optional decomposition; Lévy process},
language = {eng},
pages = {Article ID 236587, 27 p.-Article ID 236587, 27 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Optimal portfolios in Lévy markets under state-dependent bounded utility functions.},
url = {http://eudml.org/doc/230684},
volume = {2010},
year = {2010},
}

TY - JOUR
AU - Figueroa-López, José E.
AU - Ma, Jin
TI - Optimal portfolios in Lévy markets under state-dependent bounded utility functions.
JO - International Journal of Stochastic Analysis
PY - 2010
PB - Hindawi Publishing Corporation, New York
VL - 2010
SP - Article ID 236587, 27 p.
EP - Article ID 236587, 27 p.
LA - eng
KW - optimal portfolio; state-dependent utility function; dual variational approach; multiplicative optional decomposition; Lévy process
UR - http://eudml.org/doc/230684
ER -