Optimal Investment

  • Ernst Eberlein
  • Jan Kallsen
Part of the Springer Finance book series (FINANCE)


As an investor in a securities market you have to decide how to arrange your portfolio. In this chapter we consider the natural situation that you want to maximise your profits. It is not entirely obvious how to formalise this goal because the payoff of investments is typically random.


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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Ernst Eberlein
    • 1
  • Jan Kallsen
    • 2
  1. 1.Department of Mathematical StochasticsUniversity of FreiburgFreiburg im BreisgauGermany
  2. 2.Department of MathematicsKiel UniversityKielGermany

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