Constrained nonsmooth utility maximization without quadratic inf convolution

Nicholas Westray and Harry Zheng

Stochastic Processes and their Applications, 2009, vol. 119, issue 5, 1561-1579

Abstract: 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.

Keywords: Nonsmooth; utility; maximization; Convex; duality; Cone; constraints (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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