In addition to the model S of a financial market, we now consider a function U(x), modelling the utility of an agent’s wealth x at the terminal time T.
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© 2006 Springer-Verlag Berlin Heidelberg
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Delbaen, F., Schachermayer, W. (2006). Utility Maximisation on Finite Probability Spaces. In: The Mathematics of Arbitrage. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-31299-4_3
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DOI: https://doi.org/10.1007/978-3-540-31299-4_3
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