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Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization

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  • Nicholas Westray
  • Harry Zheng

Abstract

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  • Nicholas Westray & Harry Zheng, 2011. "Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization," Finance and Stochastics, Springer, vol. 15(3), pages 501-512, September.
    • Handle: RePEc:spr:finsto:v:15:y:2011:i:3:p:501-512
    DOI: 10.1007/s00780-010-0128-6
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    References listed on IDEAS

    as
    1. B. Bouchard & N. Touzi & A. Zeghal, 2004. "Dual formulation of the utility maximization problem: the case of nonsmooth utility," Papers math/0405290, arXiv.org.
    2. Bruno Bouchard, 2002. "Utility maximization on the real line under proportional transaction costs," Finance and Stochastics, Springer, vol. 6(4), pages 495-516.
    3. Griselda Deelstra & Huyên Pham & Nizar Touzi, 2001. "Dual formulation of the utility maximisation problem under transaction costs," ULB Institutional Repository 2013/7596, ULB -- Universite Libre de Bruxelles.
    4. repec:dau:papers:123456789/1531 is not listed on IDEAS
    5. repec:dau:papers:123456789/1532 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Shaolin Ji & Xiaomin Shi, 2016. "Recursive utility optimization with concave coefficients," Papers 1607.00721, arXiv.org.
    2. Maxim Bichuch & Stephan Sturm, 2014. "Portfolio optimization under convex incentive schemes," Finance and Stochastics, Springer, vol. 18(4), pages 873-915, October.

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    More about this item

    Keywords

    Nonsmooth utility maximization; Convex duality; Subdifferential wealth random variables; 93E20; 49J52; 60H30; G10; G11;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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