A dual characterization of self-generation and exponential forward performances

Zitkovic, Gordan, Žitković, Gordan . The Annals of Applied Probability 2009. 19 (6) :2176-2210

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Bibtex

@article{CIS-256972,
  Author = {Zitkovic, Gordan and Žitković, Gordan},
  Title = {A dual characterization of self-generation and exponential forward performances},
  Journal = {The Annals of Applied Probability},
  Volume = {19},
  Number = {6},
  Year = {2009},
  Pages = {2176--2210},
  Keywords = {Random fields, incomplete markets, utility maximization, mathematical finance, convex duality, exponential utility, forward performances}
}

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