On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models

Miklós Résonyi () and Lukasz Stettner ()
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Miklós Résonyi: Computer and Automation Institute Hungarian Academy of Sciences
Lukasz Stettner: Polish Academy of Sciences, Institute of Mathematics

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 589-608 from Springer

Keywords: Trading Strategy; Relative Interior; Terminal Wealth; Utility Maximization Problem; Essential Supremum (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/978-3-540-30788-4_29

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