Optimal investment in incomplete markets when wealth may become negative.
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.
scientific article; zbMATH DE number 1906213