Maximin investment problems for discounted and total wealth
We study an optimal investment problem for a continuous-time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are not necessarily adapted to the driving Brownian motion, and their distributions are unknown, but they ar...
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| Format: | Journal Article |
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Oxford University Press
2008
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| Online Access: | http://hdl.handle.net/20.500.11937/39318 |