×

zbMATH — the first resource for mathematics

A utility maximization approach to hedging in incomplete markets. (English) Zbl 0952.91027
This paper proposes a solution to the hedging problem in incomplete markets by maximizing the expected utility of portfolio gains over infinitesimal time intervals.

MSC:
91B28 Finance etc. (MSC2000)
91B16 Utility theory
PDF BibTeX XML Cite
Full Text: DOI