Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities.
Thai Ha-HuyCuong Le VanManh-Hung NguyenPublished in: Math. Soc. Sci. (2016)
Keyphrases
- risk averse
- infinite dimensional
- market equilibrium
- utility function
- risk neutral
- portfolio management
- transaction costs
- finite dimensional
- expected utility
- decision makers
- probability distribution
- decision theory
- financial markets
- decision problems
- shape space
- convex sets
- stock price
- linear program
- support vector
- resource allocation
- stock exchange
- decision making
- portfolio selection
- stochastic programming
- closed curves
- dynamic programming
- decision theoretic