A computational scheme for the optimal strategy in an incomplete market

We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approxi...

Full description

Saved in:
Bibliographic Details
Published in:Journal of economic dynamics & control Vol. 31; no. 11; pp. 3591 - 3613
Main Authors: Keppo, Jussi, Meng, Xu, Sullivan, Michael G.
Format: Journal Article
Language:English
Published: Amsterdam Elsevier B.V 01.11.2007
North-Holland Publ. Co
Elsevier
Elsevier Sequoia S.A
Series:Journal of Economic Dynamics and Control
Subjects:
Algorithms
Computational methods
Endowment
Endowment uncertainty
Hedging
Incomplete markets
Intelligence
Investment decision
Market analysis
Numerical methods
Optimization algorithms
Portfolio management
Portfolio selection
Portfolios
Recursion
Studies
Utility maximization
Utility measurement
Wealth
D52
Utility maximization
G11
Incomplete markets
Endowment uncertainty
Numerical methods
ISSN:0165-1889, 1879-1743
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Abstract We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approximates the optimal one. We present an ‘intelligent’ initial portfolio which requires, numerically, about 25 % fewer corrective steps in the algorithm than a random initial portfolio, and outperforms the portfolio which ignores the unhedgeable risk of the endowment.
AbstractList We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approximates the optimal one. We present an 'intelligent' initial portfolio which requires, numerically, about 25% fewer corrective steps in the algorithm than a random initial portfolio, and outperforms the portfolio which ignores the unhedgeable risk of the endowment. [PUBLICATION ABSTRACT]
We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approximates the optimal one. We present an ‘intelligent’ initial portfolio which requires, numerically, about 25 % fewer corrective steps in the algorithm than a random initial portfolio, and outperforms the portfolio which ignores the unhedgeable risk of the endowment.
We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approximates the optimal one. We present an 'intelligent' initial portfolio which requires, numerically, about 25% fewer corrective steps in the algorithm than a random initial portfolio, and outperforms the portfolio which ignores the unhedgeable risk of the endowment. All rights reserved, Elsevier
Author Keppo, Jussi
Sullivan, Michael G.
Meng, Xu
Author_xml – sequence: 1
  givenname: Jussi
  surname: Keppo
  fullname: Keppo, Jussi
  organization: Department of Industrial and Operations Engineering, University of Michigan, USA
– sequence: 2
  givenname: Xu
  surname: Meng
  fullname: Meng, Xu
  organization: Department of Industrial and Operations Engineering, University of Michigan, USA
– sequence: 3
  givenname: Michael G.
  surname: Sullivan
  fullname: Sullivan, Michael G.
  email: sullivan@math.umass.edu
  organization: Department of Mathematics and Statistics, University of Massachusetts, Lederle Graduate Research Tower, Amherst, MA 01003-9305, USA
BackLink http://www.econis.eu/PPNSET?PPN=549288937$$DView this record in ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften
http://econpapers.repec.org/article/eeedyncon/v_3a31_3ay_3a2007_3ai_3a11_3ap_3a3591-3613.htm$$DView record in RePEc
BookMark eNp9UcFu1TAQtFCReC38ABciDtwSvHHsJBKXqioFqYgLnC3H2fAckjjYfpXe37NRqh566ME71npm5N25ZBeLX5Cx98AL4KA-j8WIvS1KzlUBZUHwih2gqdsc6kpcsAORZA5N075hlzGOnHNZSjiwu-vM-nk9JZOcX8yURXvEGbPBhywdMfNrcvPWTsEk_HPO3JKZheqmmjBhNpvwF9Nb9nowU8R3j3jFfn-9_XXzLb__eff95vo-txKqlLdd1xnbD8CbpuKd4FVpocdh6G1nBgOKq7ZSFdRNbyxg2QyDRGvq1ijZSWPEFfu0-67B_zthTHp20eI0mQX9KWqhaiGkbIj48Rlx9KdAE0YNrVJVI6Ek0o-dFHBFq9dAs4azRsT-TBMu-kELI4DKmQ5ttyZwdGDrrdujbOmqQOhjmsnvw-6HJHbxyVBWbUm7FzUxyp1hg48x4PDEAa63KPWotyj1FqWGUhOQqHkmsm4PjFJx08vSL48_olAeHAYdrcPFYu8C2qR7716S_weF6bqK
CODEN JEDCDH
CitedBy_id crossref_primary_10_1016_j_ejor_2021_06_029
crossref_primary_10_1287_opre_2016_1503
Cites_doi 10.1007/PL00013534
10.1214/aoap/1029962818
10.1016/j.jedc.2004.07.004
10.1214/105051604000000738
10.2139/ssrn.346420
10.1016/S0165-1889(97)00002-X
10.1109/TPWRS.2002.800898
10.1007/s007800050048
10.1137/0329039
10.1214/aop/1068646367
10.1006/jeth.1996.2207
10.1111/j.1467-9965.1996.tb00075.x
10.1287/opre.1060.0279
ContentType Journal Article
Copyright 2007 Elsevier B.V.
Copyright Elsevier Sequoia S.A. Nov 2007
Copyright_xml – notice: 2007 Elsevier B.V.
– notice: Copyright Elsevier Sequoia S.A. Nov 2007
DBID AAYXX
CITATION
OQ6
DKI
X2L
8BJ
FQK
JBE
DOI 10.1016/j.jedc.2006.12.006
DatabaseName CrossRef
ECONIS
RePEc IDEAS
RePEc
International Bibliography of the Social Sciences (IBSS)
International Bibliography of the Social Sciences
International Bibliography of the Social Sciences
DatabaseTitle CrossRef
International Bibliography of the Social Sciences (IBSS)
DatabaseTitleList International Bibliography of the Social Sciences (IBSS)

International Bibliography of the Social Sciences (IBSS)
DeliveryMethod fulltext_linktorsrc
Discipline Economics
EISSN 1879-1743
EndPage 3613
ExternalDocumentID 1338691711
eeedyncon_v_3a31_3ay_3a2007_3ai_3a11_3ap_3a3591_3613_htm
549288937
10_1016_j_jedc_2006_12_006
S0165188907000140
Genre Feature
GroupedDBID --K
--M
-~X
.L6
.~1
0R~
1B1
1OL
1RT
1~.
1~5
29K
3R3
4.4
457
4G.
5GY
5VS
63O
7-5
71M
8P~
9JN
9JO
AABNK
AACTN
AAEDT
AAEDW
AAFFL
AAIAV
AAIKJ
AAKOC
AALRI
AAOAW
AAPFB
AAQFI
AAQXK
AAXUO
ABAOU
ABFNM
ABFRF
ABJNI
ABLJU
ABMAC
ABTAH
ABXDB
ABYKQ
ACAZW
ACDAQ
ACGFO
ACGFS
ACHQT
ACRLP
ACROA
ADBBV
ADEZE
ADFHU
ADGUI
ADIYS
ADMUD
AEBSH
AEFWE
AEKER
AEYQN
AFFNX
AFKWA
AFODL
AFTJW
AGHFR
AGTHC
AGUBO
AGYEJ
AHHHB
AIEXJ
AIGVJ
AIIAU
AIKHN
AITUG
AJBFU
AJOXV
AJWLA
ALMA_UNASSIGNED_HOLDINGS
AMFUW
AMRAJ
ARUGR
ASPBG
AVWKF
AXJTR
AXLSJ
AZFZN
BEHZQ
BEZPJ
BGSCR
BKOJK
BKOMP
BLXMC
BNTGB
BPUDD
BULVW
BZJEE
CS3
D-I
DU5
EBS
EFJIC
EFLBG
EJD
EO8
EO9
EP2
EP3
F5P
FDB
FEDTE
FGOYB
FIRID
FNPLU
FYGXN
G-2
G-Q
GBLVA
HMB
HVGLF
HZ~
IHE
IXIXF
J1W
KOM
LPU
LY5
M41
MHUIS
MO0
MS~
N9A
O-L
O9-
OAUVE
OZT
P-8
P-9
P2P
PC.
PQQKQ
Q38
R2-
RIG
ROL
RPZ
SDF
SDG
SDP
SEB
SEE
SES
SEW
SPC
SPCBC
SSB
SSF
SSW
SSZ
T5K
TN5
ULY
UNMZH
UQL
WUQ
YK3
YQT
ZY4
~G-
9DU
AATTM
AAXKI
AAYWO
AAYXX
ABWVN
ACLOT
ACRPL
ACVFH
ADCNI
ADNMO
AEIPS
AEUPX
AFJKZ
AFPUW
AGQPQ
AIGII
AIIUN
AKBMS
AKRWK
AKYEP
ANKPU
APXCP
CITATION
EFKBS
~HD
OQ6
08R
0R
1
8P
ABFLS
ADALY
DKI
G-
HZ
IPNFZ
K
L6
M
MS
PQEST
X
X2L
8BJ
FQK
JBE
ID FETCH-LOGICAL-c514t-9bbbacdf108840b3042c1deffdcbafa16069464178dac1e28ff5eca79a65b5aa3
ISICitedReferencesCount 2
ISICitedReferencesURI http://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=Summon&SrcAuth=ProQuest&DestLinkType=CitingArticles&DestApp=WOS_CPL&KeyUT=000250182200006&url=https%3A%2F%2Fcvtisr.summon.serialssolutions.com%2F%23%21%2Fsearch%3Fho%3Df%26include.ft.matches%3Dt%26l%3Dnull%26q%3D
ISSN 0165-1889
IngestDate Thu Oct 02 20:32:13 EDT 2025
Tue Nov 11 16:22:02 EST 2025
Wed Aug 18 03:50:16 EDT 2021
Sat Mar 08 16:21:05 EST 2025
Tue Nov 18 22:42:52 EST 2025
Sat Nov 29 03:19:26 EST 2025
Fri Feb 23 02:24:54 EST 2024
IsPeerReviewed true
IsScholarly true
Issue 11
Keywords D52
Utility maximization
G11
Incomplete markets
Endowment uncertainty
Numerical methods
Language English
License https://www.elsevier.com/tdm/userlicense/1.0
LinkModel OpenURL
MergedId FETCHMERGED-LOGICAL-c514t-9bbbacdf108840b3042c1deffdcbafa16069464178dac1e28ff5eca79a65b5aa3
Notes SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ObjectType-Article-2
content type line 23
PQID 196648512
PQPubID 45242
PageCount 23
ParticipantIDs proquest_miscellaneous_36733558
proquest_journals_196648512
repec_primary_eeedyncon_v_3a31_3ay_3a2007_3ai_3a11_3ap_3a3591_3613_htm
econis_primary_549288937
crossref_primary_10_1016_j_jedc_2006_12_006
crossref_citationtrail_10_1016_j_jedc_2006_12_006
elsevier_sciencedirect_doi_10_1016_j_jedc_2006_12_006
PublicationCentury 2000
PublicationDate 2007-11-01
PublicationDateYYYYMMDD 2007-11-01
PublicationDate_xml – month: 11
  year: 2007
  text: 2007-11-01
  day: 01
PublicationDecade 2000
PublicationPlace Amsterdam
PublicationPlace_xml – name: Amsterdam
PublicationSeriesTitle Journal of Economic Dynamics and Control
PublicationTitle Journal of economic dynamics & control
PublicationYear 2007
Publisher Elsevier B.V
North-Holland Publ. Co
Elsevier
Elsevier Sequoia S.A
Publisher_xml – name: Elsevier B.V
– name: North-Holland Publ. Co
– name: Elsevier
– name: Elsevier Sequoia S.A
References Duffie (bib5) 2001
Karatzas, Shreve (bib12) 1988
Schroder, M., Skiadas, C., 2002. Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. Preprint.
Zitkovic, G., 2005. Utility maximization with a stochastic clock and an unbounded random endowment, Annals of Applied Probability 15, 748–777.
Kramkov, Schachermeyer (bib16) 1999; 9
Haugh, Kogan, Wang (bib9) 2004; 54
Henderson (bib10) 2005; 29
Goll, T., Kallsen, J. 2001. A complete explicit solution to the log-optimal portfolio problem. Preprint, University of Freiburg.
Karatzas, I., 1997. Lectures on the Mathematics of Finance. CRM Monograph Series, American Mathematical Society, Providence, RI.
Allgower, Georg (bib1) 1990
Karatzas, Zitkovic (bib13) 2003; 31
Cvitanic, Karatzas (bib3) 1996; 6
Cvitanic, Schachermayer, Wang (bib4) 1999; 5
Karatzas, Lehoczky, Shreve, Xu (bib14) 1991; 29
Cuoco (bib2) 1997; 72
Keppo (bib15) 2002; 3
Duffie, Fleming, Soner, Zariphopoulou (bib6) 1997; 21
El Karoui, Jeanblanc-Picque (bib7) 1998; 2
Kramkov (10.1016/j.jedc.2006.12.006_bib16) 1999; 9
Allgower (10.1016/j.jedc.2006.12.006_bib1) 1990
Cvitanic (10.1016/j.jedc.2006.12.006_bib4) 1999; 5
10.1016/j.jedc.2006.12.006_bib17
10.1016/j.jedc.2006.12.006_bib18
El Karoui (10.1016/j.jedc.2006.12.006_bib7) 1998; 2
Keppo (10.1016/j.jedc.2006.12.006_bib15) 2002; 3
Duffie (10.1016/j.jedc.2006.12.006_bib5) 2001
Karatzas (10.1016/j.jedc.2006.12.006_bib13) 2003; 31
Karatzas (10.1016/j.jedc.2006.12.006_bib14) 1991; 29
Haugh (10.1016/j.jedc.2006.12.006_bib9) 2004; 54
10.1016/j.jedc.2006.12.006_bib8
Cuoco (10.1016/j.jedc.2006.12.006_bib2) 1997; 72
Henderson (10.1016/j.jedc.2006.12.006_bib10) 2005; 29
Cvitanic (10.1016/j.jedc.2006.12.006_bib3) 1996; 6
Duffie (10.1016/j.jedc.2006.12.006_bib6) 1997; 21
Karatzas (10.1016/j.jedc.2006.12.006_bib12) 1988
10.1016/j.jedc.2006.12.006_bib11
References_xml – volume: 5
  start-page: 259
  year: 1999
  end-page: 272
  ident: bib4
  article-title: Utility maximization in incomplete markets with random endowment
  publication-title: Finance and Stochastics
– volume: 2
  start-page: 409
  year: 1998
  end-page: 440
  ident: bib7
  article-title: Optimization of consumption with labor income
  publication-title: Finance and Stochastics
– volume: 31
  start-page: 1821
  year: 2003
  end-page: 1858
  ident: bib13
  article-title: Optimal consumption from investment and random endowment in incomplete semimartingale markets
  publication-title: Annals of Probability
– reference: Schroder, M., Skiadas, C., 2002. Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. Preprint.
– year: 1988
  ident: bib12
  article-title: Brownian Motion and Stochastic Calculus
– volume: 3
  start-page: 583
  year: 2002
  end-page: 589
  ident: bib15
  article-title: Optimality with hydorpower system
  publication-title: IEEE Transactions on Power Systems
– reference: Zitkovic, G., 2005. Utility maximization with a stochastic clock and an unbounded random endowment, Annals of Applied Probability 15, 748–777.
– reference: Karatzas, I., 1997. Lectures on the Mathematics of Finance. CRM Monograph Series, American Mathematical Society, Providence, RI.
– volume: 9
  start-page: 904
  year: 1999
  end-page: 950
  ident: bib16
  article-title: The asymptotic elasticity of utility functions and optimal investments in incomplete markets
  publication-title: Annals of Applied Probability
– volume: 54
  start-page: 405
  year: 2004
  end-page: 418
  ident: bib9
  article-title: Evaluating portfolio policies: a duality approach
  publication-title: Operations Research
– volume: 29
  start-page: 702
  year: 1991
  end-page: 730
  ident: bib14
  article-title: Martingale and duality methods for utility maximization in an incomplete market
  publication-title: SIAM Journal of Control and Optimization
– reference: Goll, T., Kallsen, J. 2001. A complete explicit solution to the log-optimal portfolio problem. Preprint, University of Freiburg.
– year: 1990
  ident: bib1
  article-title: Numerical Continuation Methods, An Introduction
– volume: 29
  start-page: 1237
  year: 2005
  end-page: 1266
  ident: bib10
  article-title: Explicit solutions to an optimal portfolio choice problem with stochastic income
  publication-title: Journal of Economic Dynamics and Control
– year: 2001
  ident: bib5
  article-title: Dynamic Asset Pricing Theory
– volume: 6
  start-page: 133
  year: 1996
  end-page: 165
  ident: bib3
  article-title: Hedging and Portfolio optimization under transaction costs: a Martingale approach
  publication-title: Mathematical Finance
– volume: 21
  start-page: 753
  year: 1997
  end-page: 782
  ident: bib6
  article-title: Hedging in incomplete markets with HARA utility
  publication-title: Journal of Economic Dynamics and Control
– volume: 72
  start-page: 33
  year: 1997
  end-page: 73
  ident: bib2
  article-title: Optimal consumption and equilibrium prices with portfolio constrains and stochastic income
  publication-title: Journal of Economic Theory
– volume: 5
  start-page: 259
  year: 1999
  ident: 10.1016/j.jedc.2006.12.006_bib4
  article-title: Utility maximization in incomplete markets with random endowment
  publication-title: Finance and Stochastics
  doi: 10.1007/PL00013534
– volume: 9
  start-page: 904
  year: 1999
  ident: 10.1016/j.jedc.2006.12.006_bib16
  article-title: The asymptotic elasticity of utility functions and optimal investments in incomplete markets
  publication-title: Annals of Applied Probability
  doi: 10.1214/aoap/1029962818
– volume: 29
  start-page: 1237
  year: 2005
  ident: 10.1016/j.jedc.2006.12.006_bib10
  article-title: Explicit solutions to an optimal portfolio choice problem with stochastic income
  publication-title: Journal of Economic Dynamics and Control
  doi: 10.1016/j.jedc.2004.07.004
– ident: 10.1016/j.jedc.2006.12.006_bib11
– ident: 10.1016/j.jedc.2006.12.006_bib8
– year: 1988
  ident: 10.1016/j.jedc.2006.12.006_bib12
– ident: 10.1016/j.jedc.2006.12.006_bib18
  doi: 10.1214/105051604000000738
– ident: 10.1016/j.jedc.2006.12.006_bib17
  doi: 10.2139/ssrn.346420
– year: 1990
  ident: 10.1016/j.jedc.2006.12.006_bib1
– volume: 21
  start-page: 753
  year: 1997
  ident: 10.1016/j.jedc.2006.12.006_bib6
  article-title: Hedging in incomplete markets with HARA utility
  publication-title: Journal of Economic Dynamics and Control
  doi: 10.1016/S0165-1889(97)00002-X
– volume: 3
  start-page: 583
  year: 2002
  ident: 10.1016/j.jedc.2006.12.006_bib15
  article-title: Optimality with hydorpower system
  publication-title: IEEE Transactions on Power Systems
  doi: 10.1109/TPWRS.2002.800898
– volume: 2
  start-page: 409
  year: 1998
  ident: 10.1016/j.jedc.2006.12.006_bib7
  article-title: Optimization of consumption with labor income
  publication-title: Finance and Stochastics
  doi: 10.1007/s007800050048
– volume: 29
  start-page: 702
  year: 1991
  ident: 10.1016/j.jedc.2006.12.006_bib14
  article-title: Martingale and duality methods for utility maximization in an incomplete market
  publication-title: SIAM Journal of Control and Optimization
  doi: 10.1137/0329039
– volume: 31
  start-page: 1821
  year: 2003
  ident: 10.1016/j.jedc.2006.12.006_bib13
  article-title: Optimal consumption from investment and random endowment in incomplete semimartingale markets
  publication-title: Annals of Probability
  doi: 10.1214/aop/1068646367
– year: 2001
  ident: 10.1016/j.jedc.2006.12.006_bib5
– volume: 72
  start-page: 33
  year: 1997
  ident: 10.1016/j.jedc.2006.12.006_bib2
  article-title: Optimal consumption and equilibrium prices with portfolio constrains and stochastic income
  publication-title: Journal of Economic Theory
  doi: 10.1006/jeth.1996.2207
– volume: 6
  start-page: 133
  year: 1996
  ident: 10.1016/j.jedc.2006.12.006_bib3
  article-title: Hedging and Portfolio optimization under transaction costs: a Martingale approach
  publication-title: Mathematical Finance
  doi: 10.1111/j.1467-9965.1996.tb00075.x
– volume: 54
  start-page: 405
  year: 2004
  ident: 10.1016/j.jedc.2006.12.006_bib9
  article-title: Evaluating portfolio policies: a duality approach
  publication-title: Operations Research
  doi: 10.1287/opre.1060.0279
SSID ssj0005251
Score 1.808117
Snippet We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility...
SourceID proquest
repec
econis
crossref
elsevier
SourceType Aggregation Database
Index Database
Enrichment Source
Publisher
StartPage 3591
SubjectTerms Algorithms
Computational methods
Endowment
Endowment uncertainty
Hedging
Incomplete markets
Intelligence
Investment decision
Market analysis
Numerical methods
Optimization algorithms
Portfolio management
Portfolio selection
Portfolios
Recursion
Studies
Utility maximization
Utility measurement
Wealth
Title A computational scheme for the optimal strategy in an incomplete market
URI https://dx.doi.org/10.1016/j.jedc.2006.12.006
http://www.econis.eu/PPNSET?PPN=549288937
http://econpapers.repec.org/article/eeedyncon/v_3a31_3ay_3a2007_3ai_3a11_3ap_3a3591-3613.htm
https://www.proquest.com/docview/196648512
https://www.proquest.com/docview/36733558
Volume 31
WOSCitedRecordID wos000250182200006&url=https%3A%2F%2Fcvtisr.summon.serialssolutions.com%2F%23%21%2Fsearch%3Fho%3Df%26include.ft.matches%3Dt%26l%3Dnull%26q%3D
hasFullText 1
inHoldings 1
isFullTextHit
isPrint
journalDatabaseRights – providerCode: PRVESC
  databaseName: Elsevier SD Freedom Collection Journals 2021
  customDbUrl:
  eissn: 1879-1743
  dateEnd: 99991231
  omitProxy: false
  ssIdentifier: ssj0005251
  issn: 0165-1889
  databaseCode: AIEXJ
  dateStart: 19950101
  isFulltext: true
  titleUrlDefault: https://www.sciencedirect.com
  providerName: Elsevier
link http://cvtisr.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwtV1Lj9MwELZKuxJcEE9tWR4-wKnKah3neayg5aFVQdqu1JtlO45otU2zTVPt_iD-J-PYSdMFKjhwSFI5D6X5Po9nxjMehN4G3BNU8tThCeeOJ6VwojSBfiUiLhRNUuqbYhPhZBLNZvG3TudHnQuzvQqzLLq5ifP_CjW0Adg6dfYf4G4eCg3wG0CHPcAO-78CfliFiZeb2ssH5qtaqiaccAUyYmmSRPQiEVXaH9fhjlVwOajQg2WVCP0HrVXZROZBYkrZFxV3bMD7TnrnuZnRKaHL1a2zsvK-KjtW3pmJsvH7ttZX7YcIbUJe4xyrE2Qu1HW5mvPBxemw7bcMfIdEplrQqTKyNgpjRxtEbWFshwRLOtISrdQ3Zb1-kfnG_bA4XahEmtkl7d89-80C25OvbHx5fs6mo9l0_6yxh8BcD8B8hTGEjvNrR5cm01P47-gHQ5N7qOeGfhx1UW_4eTT70ool8k3hS_svbXaWCSS8-157GtCRhm1e7KlCLVOnt1a5ki2NZ_oIPbSg46Gh2GPUUdkTdL_OZC-eoo9DvEc1bKiGgWoYqIYt1XBNNTzPMM_wjmrYUO0ZuhyPpu8_ObYwhyNBv95ARxaCyyQlMER5Z0J7xCRJVJomUvCUk0BnUwceCaOES6LcKE19JXkY88AXPuf0Oepmq0wdIxwppWsqEKE8F8ZsHoeu4HEiSCyDOPH9PiL1x2LSrlqvi6dcsTo8ccH0B9blVANGXAaHPho09-RmzZaDVx8bDJpr9aKFkdbj-8ivUWFWITWKJgPuHXzkSQ0hs5KhYDDUBR7YN24fvWnOgizXE3Q8U6uyYDQIqS530EfjCvfmjRRosrcATsa2jHJKYHcLm-6GcJjDRnRbrk9CN4EHEcq-b5YvDr7ICXqw68gvUXezLtUrdCS3m3mxfm05_hOu_9aM
linkProvider Elsevier
openUrl ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=A+computational+scheme+for+the+optimal+strategy+in+an+incomplete+market&rft.jtitle=Journal+of+economic+dynamics+%26+control&rft.au=Keppo%2C+Jussi&rft.au=Xu%2C+Meng&rft.au=Sullivan%2C+Michael+G&rft.date=2007-11-01&rft.pub=Elsevier+Sequoia+S.A&rft.issn=0165-1889&rft.eissn=1879-1743&rft.volume=31&rft.issue=11&rft.spage=3591&rft_id=info:doi/10.1016%2Fj.jedc.2006.12.006&rft.externalDBID=NO_FULL_TEXT&rft.externalDocID=1338691711
thumbnail_l http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0165-1889&client=summon
thumbnail_m http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0165-1889&client=summon
thumbnail_s http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0165-1889&client=summon