BSDEs in utility maximization with BMO market price of risk
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References listed on IDEAS
- Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
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More about this item
KeywordsQuadratic BSDEs; BMO market price of risk; Power utility maximization; Dynamic exponential moments;
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