Incomplete Markets (Utility Over Terminal Wealth)

Robert Jarrow ()

Chapter Chapter 11 in Continuous-Time Asset Pricing Theory, 2021, pp 213-242 from Springer

Abstract: Abstract This chapter studies the investor’s portfolio optimization problem in an incomplete market. The solution in this chapter parallels the solution for the complete market setting in Chap. 10 .

Date: 2021
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Chapter: Complete Markets (Utility Over Terminal Wealth) (2021)
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DOI: 10.1007/978-3-030-74410-6_11

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