Optimal investment in incomplete markets when wealth may become negative
This paper accompanies a previous one from 1999 by D. Kramkov and the present author. There, we considered utility functions $U:\R_+ \to \R$ satisfying the Inada conditions $U'(0)=\infty$ and $U'(\infty)=0$, in the present paper we consider utility functions $U:\R\to\R$ which are finitely...
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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
2000
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| Online Access: | http://epub.wu.ac.at/466/1/document.pdf |