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 originaleEnglish
pagine (da-a)1-6
Numero di pagine6
RivistaJournal of Probability and Statistics
Volume2015
DOI
Stato di pubblicazionePubblicato - 2015

Keywords

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

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