𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Discrete choice and stochastic utility maximization

✍ Scribed by Ruud H. Koning; Geert Ridder


Book ID
108513048
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
236 KB
Volume
6
Category
Article
ISSN
1368-4221

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## SUMMARY We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in

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