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Optimal portfolio management with American capital guarantee

Journal of Economic Dynamics and Control, 29(3): 449--468, 2005.
Authors: Nicole El Karoui and Monique Jeanblanc and Vincent Lacoste
URL: http://www.sciencedirect.com/science/article/B6V85-4CC311W-1/1/fd7a054751cbb96598fab2493835e511
Tags: Portfolio optimization
| URL | BibTeX  
@article{ElKaroui2005,
title = {Optimal portfolio management with American capital guarantee},
author = {Nicole El Karoui and Monique Jeanblanc and Vincent Lacoste},
journal = {Journal of Economic Dynamics and Control},
month = {Mar},
number = {3},
pages = {449--468},
url = {http://www.sciencedirect.com/science/article/B6V85-4CC311W-1/1/fd7a054751cbb96598fab2493835e511},
volume = {29},
year = {2005},
keywords = {Portfolio optimization }
}