An expansion in the model space in the context of utility maximization
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DOI: 10.1007/s00780-017-0353-3
Abstract: In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian), an explicit second-order expansion formula for the power investor’s value function—seen as a… read more here.
Keywords: expansion; context utility; utility maximization; model space ... See more keywords