Year: 2010
Type: preprint
Abstract: We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish the existence of the optimal solutions to the primal and dual problems and their dual relationship. We simplify the present proofs in this area and extend the existing duality theory to the constrained nonsmooth setting.
Authors: Westray, Nicholas, Zheng, Harry
Institutions: Humboldt-Universität zu Berlin, Imperial College London
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2952278776