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On Level Curves of Value Functions in Optimization Models of Expected Utility
Home
Publications
On Level Curves of Value Functions in Optimization Models of Expected Utility
On Level Curves of Value Functions in Optimization Models of Expected Utility
CT
Cristian‐Ioan Tiu
Cristian‐Ioan Tiu
Thaleia Zariphopoulou
Thaleia Zariphopoulou
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1 April 2000
journal article
Published by
Wiley
in
Mathematical Finance
Vol. 10
(2)
,
323-338
https://doi.org/10.1111/1467-9965.00097
Abstract
No abstract available
Keywords
PORTFOLIO OPTIMIZATION
TRANSACTION COSTS
LEVEL SETS
DERIVATIVE PRICES
Cited by 1 article