Kim and Omberg revisited: the duality approach (Q1657919)

Summary: We give an alternative duality-based proof to the solution of the expected utility maximization problem analyzed by \textit{T. S. Kim} and \textit{E. Omberg} [``Dynamic nonmyopic portfolio behavior'', Rev. Financial Stud. 9, No. 1, 141--161 (1996; \url{doi:10.1093/rfs/9.1.141})]. In doing so, we also provide an example of incomplete-market optimal investment problem for which the duality approach is conducive to an explicit solution.