Utility Maximization in Imperfected Markets
We analyze a problem of maximization of expected terminal wealth and consumption in markets with some ``imperfection'', such as constraints on the permitted portfolios, labor income, or/and nonlinearity of portfolio dynamics. By using general optional decomposition under constraints in multiplicative form, we develop a dual formulation. Then, under some conditions imposed on the model setting and the utility functions, we are able to prove an existence and uniqueness of an optimal solution to primal and to the corresponding dual problem by convex duality.
|Date of creation:||21 Jan 2003|
|Date of revision:||23 Mar 2003|
|Note:||Type of Document - Tex/WordPerfect/Handwritten; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 41; figures: included/request from author/draw your own|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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