Simple strategies in exponential utility maximization
Stricker, Christophe
Séminaire de probabilités de Strasbourg, Tome 36 (2002), p. 415-418 / Harvested from Numdam
Access to full text
Full (PDF)
Full (DJVU)
Publié le : 2002-01-01
@article{SPS_2002__36__415_0,
     author = {Stricker, Christophe},
     title = {Simple strategies in exponential utility maximization},
     journal = {S\'eminaire de probabilit\'es de Strasbourg},
     volume = {36},
     year = {2002},
     pages = {415-418},
     mrnumber = {1971602},
     zbl = {1036.60038},
     language = {en},
     url = {http://dml.mathdoc.fr/item/SPS_2002__36__415_0}
}

Stricker, Christophe. Simple strategies in exponential utility maximization. Séminaire de probabilités de Strasbourg, Tome 36 (2002) pp. 415-418. http://gdmltest.u-ga.fr/item/SPS_2002__36__415_0/

[1] C. Dellacherie and P.A. Meyer. Probabilités et Potentiel. Chapitres V à VIII. Hermann 1980. | MR 566768 | Zbl 0464.60001

[2] M. Émery. Une topologie sur l'espace des semimartingales. Séminaire de Prob. XIII, LNM 721, 281-293, Springer 1979. | Numdam | MR 544800

[3] Y. Kabanov, C. Stricker. On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. To appear in Mathematical Finance (2002). | MR 1891731 | Zbl 01791872

[4] P. Protter. Stochastic integration and differential equations. Springer 1990. | MR 1037262 | Zbl 0694.60047