Kramkov, Dimitrij O. and Schachermayer, Walter (2001) Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 84. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.
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Abstract
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)
| Item Type: | Paper |
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| Keywords: | utility maximization / incomplete markets / Legendre transformation / duality theory |
| Classification Codes: | JEL G11, G12, C61 |
| Divisions: | Departments > Finance, Accounting and Statistics > Statistics and Mathematics Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes Departments > Marketing > Tourismus und Freizeitwirtschaft |
| Depositing User: | Repository Administrator |
| Date Deposited: | 16 Apr 2002 13:30 |
| Last Modified: | 27 Jan 2011 08:55 |
| WU Online Catalog: | http://onlinekatalog.wu.ac.at/F?func=find-b&reques... |
| URI: | http://epub.wu.ac.at/id/eprint/1568 |
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