Constrained nonsmooth utility maximization without quadratic inf convolution

DOI10.1016/j.spa.2008.08.002zbMath1159.93363OpenAlexW2145279068MaRDI QIDQ1016629

Harry Zheng, Nicholas Westray

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.08.002

zbMATH Keywords

convex dualitycone constraintsnonsmooth utility maximization

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (9)

Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon ⋮ On utility maximization under convex portfolio constraints ⋮ Recursive utility optimization with concave coefficients ⋮ Portfolio optimization under convex incentive schemes ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Convergence in the Semimartingale Topology and Constrained Portfolios ⋮ Constrained nonsmooth utility maximization on the positive real line

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