Monotonicity Properties of Optimal Investment Strategies for Log-Brownian Asset Prices
Artikel i vetenskaplig tidskrift, 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

Författare

Christer Borell

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Matematik

Mathematical Finance

Vol. 17 1 143-153

Ämneskategorier

Matematik