Kim and Omberg Revisited: The Duality Approach
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.
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2015/581854 |
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| _version_ | 1850105892715888640 |
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| author | Anna Battauz Marzia De Donno Alessandro Sbuelz |
| author_facet | Anna Battauz Marzia De Donno Alessandro Sbuelz |
| author_sort | Anna Battauz |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-38435c1e423d4caca80df63c11a3cf3a |
| institution | OA Journals |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2015-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-38435c1e423d4caca80df63c11a3cf3a2025-08-20T02:38:58ZengWileyJournal of Probability and Statistics1687-952X1687-95382015-01-01201510.1155/2015/581854581854Kim and Omberg Revisited: The Duality ApproachAnna Battauz0Marzia De Donno1Alessandro Sbuelz2Department of Finance and IGIER, Bocconi University, Via Röntgen 1, 20136 Milan, ItalyDepartment of Economics, University of Parma, Via Kennedy 6, 43125 Parma, ItalyDepartment of Mathematical Sciences, Mathematical Finance and Econometrics, Catholic University of Milan, Via Necchi 9, 20123 Milan, ItalyWe 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.http://dx.doi.org/10.1155/2015/581854 |
| spellingShingle | Anna Battauz Marzia De Donno Alessandro Sbuelz Kim and Omberg Revisited: The Duality Approach Journal of Probability and Statistics |
| title | Kim and Omberg Revisited: The Duality Approach |
| title_full | Kim and Omberg Revisited: The Duality Approach |
| title_fullStr | Kim and Omberg Revisited: The Duality Approach |
| title_full_unstemmed | Kim and Omberg Revisited: The Duality Approach |
| title_short | Kim and Omberg Revisited: The Duality Approach |
| title_sort | kim and omberg revisited the duality approach |
| url | http://dx.doi.org/10.1155/2015/581854 |
| work_keys_str_mv | AT annabattauz kimandombergrevisitedthedualityapproach AT marziadedonno kimandombergrevisitedthedualityapproach AT alessandrosbuelz kimandombergrevisitedthedualityapproach |