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 forwhich the duality approach is conducive to an explicit solution.
Battauz, A., De Donno, M., Sbuelz, A., Kim and Omberg Revisited: The Duality Approach, <<JOURNAL OF PROBABILITY AND STATISTICS>>, 2015; 2015 (N/A): 1-6. [doi:10.1155/2015/581854] [http://hdl.handle.net/10807/68187]
Kim and Omberg Revisited: The Duality Approach
De Donno, M;Sbuelz, Alessandro
2015
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 forwhich the duality approach is conducive to an explicit solution.
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