Optimal long-term investment in illiquid markets when prices have negative memory
نویسندگان
چکیده
منابع مشابه
Optimal Investment in Incomplete Markets when Wealth may Become Negative
This paper accompanies a previous one [KS99] by D. Kramkov and the present author. While in [KS99] we considered utility functions U : R+ → R satisfying the Inada conditions U ′(0) = ∞ and U ′(∞) = 0, in the present paper we consider utility functions U : R → R which are finitely valued, for all x ∈ R, and satisfy U ′(−∞) =∞ and U ′(∞) = 0. A typical example of this situation is the exponential...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2021
ISSN: 1083-589X
DOI: 10.1214/21-ecp387