Optimal Investment

Ernst Eberlein and Jan Kallsen
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Ernst Eberlein: University of Freiburg
Jan Kallsen: Kiel University

Chapter Chapter 10 in Mathematical Finance, 2019, pp 461-535 from Springer

Abstract: Abstract As an investor in a securities market you have to decide how to arrange your portfolio. In this chapter we consider the natural situation that you want to maximise your profits. It is not entirely obvious how to formalise this goal because the payoff of investments is typically random.

Date: 2019
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DOI: 10.1007/978-3-030-26106-1_10

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