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Risk aversion asymptotics for power utility maximization · Study

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ArticleRisk aversion asymptotics for power utility maximization

Marcel Nutz2010

OA

Articlebronze2010

Risk aversion asymptotics for power utility maximization

22 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

2003Limit Theorems for Stochastic Processes 2001The Economics of Risk and Time 2000Backward stochastic differential equations and partial differential equations with quadratic growth 1998The fundamental theorem of asset pricing for unbounded stochastic processes 1995On the minimal martingale measure and the möllmer-schweizer decomposition 2001Optimal investment in incomplete markets when wealth may become negative 2006Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging 2005Dynamic exponential utility indifference valuation

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Year2010

Typearticle

Published2010-11-24

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00440-010-0334-3

openalex_workW2102600411

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