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Constrained NonSmooth Utility Maximization on the Positive Real Line

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  • Nicholas Westray
  • Harry Zheng
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    Abstract

    We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish the existence of the optimal solutions to the primal and dual problems and their dual relationship. We simplify the present proofs in this area and extend the existing duality theory to the constrained nonsmooth setting.

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    File URL: http://arxiv.org/pdf/1010.4055
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1010.4055.

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    Date of creation: Oct 2010
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    Handle: RePEc:arx:papers:1010.4055

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    Web page: http://arxiv.org/

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    1. (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001. "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, vol. 5(2), pages 259-272.
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