Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
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References listed on IDEAS
- B. Bouchard & N. Touzi & A. Zeghal, 2004. "Dual formulation of the utility maximization problem: the case of nonsmooth utility," Papers math/0405290, arXiv.org.
- Bruno Bouchard, 2002. "Utility maximization on the real line under proportional transaction costs," Finance and Stochastics, Springer, vol. 6(4), pages 495-516.
- repec:dau:papers:123456789/1531 is not listed on IDEAS
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- Maxim Bichuch & Stephan Sturm, 2014. "Portfolio optimization under convex incentive schemes," Finance and Stochastics, Springer, vol. 18(4), pages 873-915, October.
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KeywordsNonsmooth utility maximization; Convex duality; Subdifferential wealth random variables; 93E20; 49J52; 60H30; G10; G11;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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