Constrained nonsmooth utility maximization without quadratic inf convolution

We address a constrained utility maximization problem in an incomplete market for a utility function defined on the whole real line. We extend current research in two directions, firstly we allow for constraints on the portfolio process. Secondly we prove our results without relying on the technique of quadratic inf convolution, simplifying the proofs in this area.

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Year of publication:	2009
Authors:	Westray, Nicholas ; Zheng, Harry
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 5, p. 1561-1579
Publisher:	Elsevier
Keywords:	Nonsmooth utility maximization Convex duality Cone constraints

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874757