TY - UNPB
T1 - Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
AU - Kramkov, Dimitrij O.
AU - Schachermayer, Walter
PY - 2001
Y1 - 2001
N2 - 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)
AB - 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)
U2 - 10.57938/3269ed9b-ab5a-4c39-bb12-01e83210eb9a
DO - 10.57938/3269ed9b-ab5a-4c39-bb12-01e83210eb9a
M3 - WU Working Paper and Case
T3 - Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
BT - Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
PB - SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
CY - Vienna
ER -