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 | Inglese |
|---|---|
| pagine (da-a) | 1-6 |
| Numero di pagine | 6 |
| Rivista | Journal of Probability and Statistics |
| Volume | 2015 |
| DOI | |
| Stato di pubblicazione | Pubblicato - 2015 |
Keywords
- Non-myopic portfolio choice, strategic asset allocation, convex duality