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Persistent link: https://www.econbiz.de/10002747136
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly,...
Persistent link: https://www.econbiz.de/10010442910
Persistent link: https://www.econbiz.de/10011460007