Michael G. Sullivan

University of Michigan at Ann Arbor - Department of Mathematics

Assistant Professor

2074 East Hall

530 Church Street

Ann Arbor, MI 48109-1043

United States

SCHOLARLY PAPERS

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Scholarly Papers (1)

A Computational Scheme for the Optimal Strategy in an Incomplete Market

Number of pages: 22 Posted: 11 Jan 2002
Jussi Keppo, Xu Meng and Michael G. Sullivan
National University of Singapore - NUS Business School, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and University of Michigan at Ann Arbor - Department of Mathematics
Downloads 505 (54,968)
Citation 2

Abstract:

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utility maximization, incomplete markets, endowment uncertainty, numerical methods

A Computational Scheme for the Optimal Strategy in an Incomplete Market

Journal of Economic Dynamics and Control, Forthcoming
Posted: 28 Mar 2007
Jussi Keppo, Xu Meng and Michael G. Sullivan
National University of Singapore - NUS Business School, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and University of Michigan at Ann Arbor - Department of Mathematics

Abstract:

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Utility maximization, incomplete markets, endowment uncertainty