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.
|Number of pages||6|
|Journal||Journal of Probability and Statistics|
|Publication status||Published - 2015|
- Non-myopic portfolio choice, strategic asset allocation, convex duality