On utility maximization without passing by the dual problem

DOI10.1080/17442508.2018.1457677zbMath1498.91406arXiv1702.00982OpenAlexW2586102631MaRDI QIDQ5086453

Miklós Rásonyi

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00982

zbMATH Keywords

transaction costsutility functionoptimal investmentlarge marketsunbounded random endowments

Mathematics Subject Classification ID

Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (2)

Optimal investment and consumption with labor income in incomplete markets ⋮ Robust utility maximisation in markets with transaction costs

Cites Work

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