Utility Maximization in Imperfected Markets

作者: Thanh Long Nguyen

DOI: 10.2139/SSRN.391920

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摘要: We analyze a problem of maximization expected terminal wealth and consumption in markets with some "imperfection", such as constraints on the permitted portfolios, labor income, or/and nonlinearity portfolio dynamics. By using general optional decomposition under multiplicative form, we develop dual formulation. Then, conditions imposed model setting utility functions, are able to prove an existence uniqueness optimal solution primal corresponding by convex duality.

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