Abstract
We give an alternative duality-based proof to the solution of the expected utility maximization problem analyzed by Kim and Omberg. In so doing,we also provide an example of incomplete-market optimal investment problem forwhich the duality approach is conducive to an explicit solution.
| Original language | English |
|---|---|
| Pages (from-to) | 1-6 |
| Number of pages | 6 |
| Journal | Journal of Probability and Statistics |
| Volume | 2015 |
| DOIs | |
| Publication status | Published - 2015 |
Keywords
- Non-myopic portfolio choice, strategic asset allocation, convex duality