Duality theory for concavification of utility functions in incomplete market model

DOI10.17721/1812-5409.2021/2.2zbMATH Open1488.91113OpenAlexW4210604146MaRDI QIDQ5018580

O. O. Bahchedjioglou

Publication date: 21 December 2021

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2021/2.2

zbMATH Keywords

concavificationrobust utility maximizationoptimal investmentsnonconcave utilitystandard utility maximization

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (2)

Duality theory for robust utility maximisation ⋮ Axiomatic characterizations of the duality correspondence in consumer theory

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