Optimal investment in incomplete markets when wealth may become negative
This paper accompanies a previous one from 1999 by D. Kramkov and the present author. There, we considered utility functions $U:\R_+ \to \R$ satisfying the Inada conditions $U'(0)=\infty$ and $U'(\infty)=0$, in the present paper we consider utility functions $U:\R\to\R$ which are finitely valued, for all $x\inftyn\R$, and satisfy $U'(-\infty)=\infty$ and $U'(\infty)=0$....