Utility Maximization in Imperfected Markets

Long Nguyen-Thanh

Finance from EconWPA

Abstract: 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.

Keywords: Stochastic Optimization; Utility Optimization; Duality Theory; Convex and State Constraints; Optional Decomposition; Optimal Stopping (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mic
Date: 2003-01-21, Revised 2003-03-23
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
View list of references

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0301/0301007.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0301007

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().