Resource title

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

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Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true. In [10] we proved that a minimal condition on the utility function alone, i.e. a minimal market independent condition, is that the asymptotic elasticity of the utility function is strictly less than 1. In this paper we show that a necessary and sufficient condition on both, the utility function and the model, is that the value function of the dual problem is finite. (authors' abstract) ; Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

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Dimitrij O. Kramkov, Walter Schachermayer

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en

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application/pdf

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http://epub.wu.ac.at/1568/1/document.pdf

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