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.
Kim and Omberg revisited: the duality approach
Battauz, Anna;De Donno, Marzia;Sbuelz, Alessandro
2015
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.
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