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