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]
Autori: | |
Titolo: | Kim and Omberg Revisited: The Duality Approach |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1155/2015/581854 |
URL: | http://www.hindawi.com/journals/jps/2015/581854/ |
Data di pubblicazione: | 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. |
Lingua: | Inglese |
Rivista: | |
Citazione: | 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] |
Appare nelle tipologie: | Articolo in rivista, Nota a sentenza |
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