On utility maximization under convex portfolio constraints
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Publication:1948700
DOI10.1214/12-AAP850zbMath1262.91129arXiv1102.0346MaRDI QIDQ1948700
Publication date: 24 April 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.0346
semimartingales; convex duality; utility maximization; convex constraints; finitely-additive measures
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