Optimal investment in incomplete markets when wealth may become negative. (Q1872427)
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scientific article; zbMATH DE number 1906213
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment in incomplete markets when wealth may become negative. |
scientific article; zbMATH DE number 1906213 |
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Optimal investment in incomplete markets when wealth may become negative. (English)
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6 May 2003
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This is an extension of the author and his co-worker's \textit{D. Kramkov} and \textit{W. Schachermayer} [Ann. Appl. Probab. 9, 904--950 (1999; Zbl 0967.91017)]. The contribution of this paper is that the utility function is allowed to take negative values, which will make the things more complicate. An existence theorem for the optimal investment in a locally bounded semi-martingale model of a financial market is proven. Examples are shown.
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utility maximization
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duality
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