Kim and Omberg Revisited: The Duality Approach. (12th August 2015)

• Record Type: Journal Article
• Authors: Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro
• Other Names: Psaradakis Zacharias Academic Editor.
• Is Part Of: Journal of probability and statistics. Volume 2015(2015)
• Publication Date: 2015-08-12
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Periodicals; 519
• DOI: 10.1155/2015/581854
• Languages: English
• ISSNs: 1687-952X

Abstract

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.