BSDEs in Utility Maximization with BMO Market Price of Risk
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References listed on IDEAS
- Marcel Nutz, 2010. "Risk Aversion Asymptotics for Power Utility Maximization," Papers 1003.3582, arXiv.org.
- 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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- Kasper Larsen & Gordan Zitkovic, 2007. "Stability of utility-maximization in incomplete markets," Papers 0706.0474, arXiv.org.
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