Constrained Nonsmooth Utility Maximization on the Positive Real Line

Content Provider	Semantic Scholar
Author	Westray, Nicholas Zheng, Harry
Copyright Year	2014
Abstract	We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor’s portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish the existence of the optimal solutions to the primal and dual problems and their dual relationship. We simplify the present proofs in this area and extend the existing duality theory to the constrained nonsmooth setting.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://wwwf.imperial.ac.uk/~hz/mcrf_nwhz_revision.pdf
Language	English
Access Restriction	Open
Subject Keyword	Assumed Concave function Dual Entropy maximization Expectation–maximization algorithm Expected utility hypothesis Fenchel's duality theorem Partial Solutions Utility Theory
Content Type	Text
Resource Type	Article