Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

DOI10.1214/aoap/1069786508zbMath1091.91036OpenAlexW2131009816MaRDI QIDQ1429115

Walter Schachermayer, Dmitry Kramkov

Publication date: 30 March 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1069786508

zbMATH Keywords

incomplete markets duality theory utility maximization Legendre transformation

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Portfolio theory (91G10)

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