OPTIMAL CONSUMPTION PROBLEMS IN INCOMPLETE MARKETS
| dc.contributor.author | WAFAA AHMED MOHAMMED SAID | |
| dc.date.accessioned | 2018-09-20T11:52:13Z | |
| dc.date.available | 2018-09-20T11:52:13Z | |
| dc.date.issued | 2007-01 | |
| dc.description.abstract | We solve the problem of an agent who seeks to maximize expected utility from consumption plus expected utility from terminal wealth and give asummary of optimal consumption and portfolio method , the market model is quite general , allowing the coefficient processes to be stochastic process. We study hedging strategies in incomplete market by compute the upper hedging price hup (K) . Finally , we get an optimal portifolio problem with logarithmic utility in markets with insider where the deriving process is a l'evy process . | en_US |
| dc.description.sponsorship | DR.ISMAIL H. ALSANOUSI | en_US |
| dc.identifier.uri | http://hdl.handle.net/123456789/12787 | |
| dc.language.iso | en | en_US |
| dc.publisher | Al Neelain University | en_US |
| dc.subject | CONSUMPTION PROBLEMS -statistics | en_US |
| dc.title | OPTIMAL CONSUMPTION PROBLEMS IN INCOMPLETE MARKETS | en_US |
| dc.type | Thesis | en_US |