Title of article :
Constrained nonsmooth utility maximization without quadratic inf convolution
Author/Authors :
Westray، نويسنده , , Nicholas and Zheng، نويسنده , , Harry، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
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 , Cone constraints , Convex duality
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications