Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155995 | Stochastic Processes and their Applications | 2009 | 19 Pages |
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
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Nicholas Westray, Harry Zheng,