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基于投资者观点的多阶段投资组合选择模型 期刊论文
系统工程理论与实践, 2017, 卷号: 37, 期号: 8, 页码: 2024
Authors:  柏林;  赵大萍;  房勇;  汪寿阳
Favorite  |  View/Download:77/0  |  Submit date:2020/01/10
Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing 期刊论文
OPTIMIZATION, 2008, 卷号: 57, 期号: 5, 页码: 691-703
Authors:  Li, Ping;  Wang, Shou-Yang
Favorite  |  View/Download:57/0  |  Submit date:2018/07/30
martingale measure  derivative pricing  optimal consumption  incomplete market  utility maximization