Monotonicity Properties of Optimal Investment Strategies for Log-Brownian Asset Prices
Journal article, 2007

The Arrow risk aversion theorems from the one period market model are extended to log-Brownian asset prices in continuous time.

log-Brownian asset prices

wealth

risk aversion

portfolio

Author

Christer Borell

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Other publications Research

Mathematical Finance

Vol. 17 1 143-153

Subject Categories

Mathematics

More information

Created

10/6/2017

Feedback and support

If you have questions, need help, find a bug or just want to give us feedback you may use this form, or contact us per e-mail research.lib@chalmers.se.

About

Research.chalmers.se contains research information from Chalmers University of Technology, Sweden. It includes information on projects, publications, research funders and collaborations.

More about coverage period and what is publicly available

Privacy and cookies

Accessibility

Citation Style Language
citeproc-js (Frank Bennett)

Links

Chalmers Library
Chalmers Research
Chalmers Student Theses

Chalmers University of Technology

SE-412 96 GOTHENBURG, SWEDEN
PHONE: +46 (0)31-772 10 00
WWW.CHALMERS.SE