Optimal investment with random endowments in incomplete markets. (Q1879894)
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scientific article
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| English | Optimal investment with random endowments in incomplete markets. |
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Optimal investment with random endowments in incomplete markets. (English)
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15 September 2004
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This paper extends the problem of utility maximization of a stochastic stream of endowments under incomplete financial markets to the case in which the endowments do not have a finite support. Using the dual of this problem, the existence and uniqueness of the solution is proved.
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random endowments
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duality
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0.9005905985832214
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0.8874766230583191
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0.8740367889404297
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0.8686982989311218
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