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 |
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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 |