Constrained nonsmooth utility maximization on the positive real line

DOI10.3934/MCRF.2015.5.679zbMath1316.93128arXiv1010.4055OpenAlexW1554292287MaRDI QIDQ2356566

Harry Zheng, Nicholas Westray

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4055

zbMATH Keywords

convex dualityrandom endowmentcone constraintsnonsmooth utility maximization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (1)

Optimal investment with deferred capital gains taxes

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