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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
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Document Date: 2016-04-06 09:09:10


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