Kim and Omberg Revisited: The Duality Approach

Anna Battauz, Marzia De Donno and Alessandro Sbuelz

Journal of Probability and Statistics, 2015, vol. 2015, 1-6

Abstract:

We give an alternative duality-based proof to the solution of the expected utility maximization problem analyzed by Kim and Omberg. In so doing, we also provide an example of incomplete-market optimal investment problem for which the duality approach is conducive to an explicit solution.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:581854

DOI: 10.1155/2015/581854

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