Dual formulation of the utility maximization problem: The case of nonsmooth utility

Annals of Applied Probability

Volumn 14, Issue 2, 2004, Pages 678-717

  Bouchard, B ^a,c   Touzi, N ^a   Zeghal, A ^b,d  

^a CREST   (France)

^b Centre National de la Recherche Scientifique   (France)

^c SORBONNE UNIVERSITÉ   (France)

^d UNIVERSITÉ PARIS DAUPHINE   (France)

Author keywords

Convex duality; Incomplete markets; Utility maximization

Indexed keywords

EID: 26844539711     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000062     Document Type: Article

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