Complete Markets (Utility Over Terminal Wealth)

Robert Jarrow ()

Chapter Chapter 10 in Continuous-Time Asset Pricing Theory, 2021, pp 193-211 from Springer

Abstract: Abstract This chapter studies an individual’s portfolio optimization problem. In this optimization, the solution differs depending on whether the market is complete or incomplete. This chapter investigates the optimization problem in a complete markets setting, and the next chapter analyzes incomplete markets.

Date: 2021
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Chapter: Incomplete Markets (Utility Over Terminal Wealth) (2021)
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DOI: 10.1007/978-3-030-74410-6_10

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