Kim and Omberg Revisited: The Duality Approach

Anna Battauz; Marzia De Donno; Alessandro Sbuelz

doi:10.1155/2015/581854

Kim and Omberg Revisited: The Duality Approach

Anna Battauz, Marzia De Donno, Alessandro Sbuelz

Bocconi University

Risultato della ricerca: Contributo in rivista › Articolo in rivista › peer review

6 Citazioni (Scopus)

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.

Lingua originale	English
pagine (da-a)	1-6
Numero di pagine	6
Rivista	Journal of Probability and Statistics
Volume	2015
DOI	https://doi.org/10.1155/2015/581854
Stato di pubblicazione	Pubblicato - 2015

Keywords

Non-myopic portfolio choice, strategic asset allocation, convex duality

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10.1155/2015/581854

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Kim and Omberg Revisited: The Duality Approach

Abstract

Keywords

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