Duality in optimal investment and consumption problems with market frictions

Mathematical Finance

Volumn 17, Issue 2, 2007, Pages 225-247

  Klein, I ^a   Rogers, L C G ^b  

^a UNIVERSITY OF VIENNA   (Austria)

^b Statistical Laboratory   (United Kingdom)

Author keywords

Convex duality; Lagrangian semimartingale; Market frictions; Optimal investment and consumption; Utility maximization

Indexed keywords

EID: 33947306436     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00301.x     Document Type: Article

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