Conjugate duality in problems of constrained utility maximization
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Publication:5190571
DOI10.1080/17442500802525401zbMath1185.93148OpenAlexW2086888575MaRDI QIDQ5190571
Chantal Labbé, Andrew J. Heunis
Publication date: 18 March 2010
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500802525401
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15) Portfolio theory (91G10)
Related Items (3)
Dynamic convex duality in constrained utility maximization ⋮ Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Cites Work
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- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
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