Portfolio Optimization under Nonlinear Utility Gregor Heyne1,1 , Michael Kuppera,2 , Ludovic Tangpia,3,∗ March 28, 2016 A BSTRACT This paper studies the utility maximization problem of an agent with non-trivial endowme

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Date: 2016-04-06 09:09:10 Local martingale Martingale theory Connection Differential geometry Symbol Affine connection		Portfolio Optimization under Nonlinear Utility Gregor Heyne1,1 , Michael Kuppera,2 , Ludovic Tangpia,3,∗ March 28, 2016 A BSTRACT This paper studies the utility maximization problem of an agent with non-trivial endowme Add to Reading List Source URL: www.mat.univie.ac.at Download Document from Source Website File Size: 491,98 KB Share Document on Facebook

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