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Wealth optimization in an incomplete market driven by a jump-diffusion process

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  • Bellamy, Nadine
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    File URL: http://www.sciencedirect.com/science/article/B6VBY-42YFB5V-6/2/c32964d9424f65dcb57d0d1484b8ad64
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    Article provided by Elsevier in its journal Journal of Mathematical Economics.

    Volume (Year): 35 (2001)
    Issue (Month): 2 (April)
    Pages: 259-287

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    Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:259-287

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    Web page: http://www.elsevier.com/locate/jmateco

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    1. Kramkov, D.O., 1994. "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets," Discussion Paper Serie B, University of Bonn, Germany 294, University of Bonn, Germany.
    2. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    3. N. Bellamy & M. Jeanblanc, 2000. "Incompleteness of markets driven by a mixed diffusion," Finance and Stochastics, Springer, Springer, vol. 4(2), pages 209-222.
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    Cited by:
    1. Sennewald, Ken, 2005. "Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility," Dresden Discussion Paper Series in Economics, Dresden University of Technology, Faculty of Business and Economics, Department of Economics 03/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
    2. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 35(2), pages 167-183, April.
    3. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    4. Sennewald, Ken, 2007. "Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(4), pages 1106-1131, April.

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