Kim and Omberg Revisited: The Duality Approach-Reference-Cited by-同舟云学术

Kim and Omberg Revisited: The Duality Approach

Published:2015 Issue: Volume:2015 Page:1-6
ISSN:1687-952X
Container-title:Journal of Probability and Statistics
language:en
Short-container-title:Journal of Probability and Statistics

Author:

Battauz Anna¹,De Donno Marzia²,Sbuelz Alessandro³

Affiliation:

1. Department of Finance and IGIER, Bocconi University, Via Röntgen 1, 20136 Milan, Italy

2. Department of Economics, University of Parma, Via Kennedy 6, 43125 Parma, Italy

3. Department of Mathematical Sciences, Mathematical Finance and Econometrics, Catholic University of Milan, Via Necchi 9, 20123 Milan, Italy

Abstract

We give an alternative duality-based proof to the solution of the expected utility maximization problem analyzed by Kim and Omberg. In so doing, we also provide an example of incomplete-market optimal investment problem for which the duality approach is conducive to an explicit solution.

Publisher

Hindawi Limited

Subject

Statistics and Probability

Link

http://downloads.hindawi.com/journals/jps/2015/581854.pdf

Reference18 articles.

1. Dynamic Nonmyopic Portfolio Behavior

2. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

3. The asymptotic elasticity of utility functions and optimal investment in incomplete markets

4. Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

5. Convex Duality in Constrained Portfolio Optimization

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