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.
2015
2015
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3986010
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