Article ID Journal Published Year Pages File Type
1155995 Stochastic Processes and their Applications 2009 19 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
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