The asymptotic elasticity of utility functions and optimal investment in incomplete markets
The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theory...
Main Authors: | , |
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Format: | Others |
Language: | en |
Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
1999
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Subjects: | |
Online Access: | http://epub.wu.ac.at/150/1/document.pdf |