Add to ORKGWe give a review of classical and recent results on maximization of expected utility for an investor who has the possibility of trading in a financial market. Emphasis will be given to the duality theory related to this convex optimization problem
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
<p>We consider a utility-maximization problem in a general semimartingale financial model, subject t...
We give an alternative duality-based proof to the solution of the expected utility maximization prob...
We give a review of classical and recent results on maximization of expected utility for an investor...
We give a review of classical and recent results on maximization of expected utility for an investor...
Abstract We consider an investor who maximizes expected exponential utility of terminal wealth, comb...
Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utili...
Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utili...
We study the dual formulation of the utility maximization problem in incomplete markets when the uti...
We study the two-times differentiability of the value functions of the primal and dual optimization ...
We consider a utility-maximization problem in a general semimartingale financial model, subject to c...
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
We study the two-times differentiability of the value functions of the primal and dual optimization ...
22 pages, 1 figureThis paper introduces a dual problem to study a continuous-time consumption and in...
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
<p>We consider a utility-maximization problem in a general semimartingale financial model, subject t...
We give an alternative duality-based proof to the solution of the expected utility maximization prob...
We give a review of classical and recent results on maximization of expected utility for an investor...
We give a review of classical and recent results on maximization of expected utility for an investor...
Abstract We consider an investor who maximizes expected exponential utility of terminal wealth, comb...
Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utili...
Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utili...
We study the dual formulation of the utility maximization problem in incomplete markets when the uti...
We study the two-times differentiability of the value functions of the primal and dual optimization ...
We consider a utility-maximization problem in a general semimartingale financial model, subject to c...
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
We study the two-times differentiability of the value functions of the primal and dual optimization ...
22 pages, 1 figureThis paper introduces a dual problem to study a continuous-time consumption and in...
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic uti...
<p>We consider a utility-maximization problem in a general semimartingale financial model, subject t...
We give an alternative duality-based proof to the solution of the expected utility maximization prob...