Utility maximization in incomplete markets (Q2572389): Difference between revisions

The authors consider the problem of utility maximization for small traders in incomplete financial markets, with constraints described by closed, but not necessarily convex, sets. The corresponding final wealths are identified, the trading strategies are seen to be optimal, and the value functions are determined simply by the initial values of the wealths. Particular cases are treated, such as: exponential, power and logarithmic utility.