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Monotonicity Properties of Optimal Investment Strategies for Log-Brownian Asset Prices

Christer Borell (Institutionen för matematiska vetenskaper, matematik)
Mathematical Finance Vol. 17 (2007), 1, p. 143-153.
[Artikel, refereegranskad vetenskaplig]

The Arrow risk aversion theorems from the one period market model are extended to log-Brownian asset prices in continuous time.

Nyckelord: log-Brownian asset prices, portfolio, wealth, risk aversion

Denna post skapades 2007-01-15.
CPL Pubid: 25553


Institutioner (Chalmers)

Institutionen för matematiska vetenskaper, matematik (2005-2016)



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