research article
oaioai:publicatt.unicatt.it:10807/68187

Kim and Omberg Revisited: The Duality Approach

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Publication date
1 January 2015
Publisher
Doi

    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 forwhich the duality approach is conducive to an explicit solution

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    This paper was published in PubliCatt.

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