Constrained NonSmooth Utility Maximization on the Positive Real Line

2010/10/19 by Nicholas Westray, Westray, Nicholas, Harry Zheng +1
Decision Sciences · Economics, Econometrics and Finance · #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #Risk and Portfolio Optimization #Stochastic processes and financial applications #q-fin.CP

paper · pdf · doi:10.48550/arxiv.1010.4055

20 pages

arxiv created 2010/10/19 · openalex publication_date 2010/10/19 · arxiv updated 2010/10/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish the existence of the optimal solutions to the primal and dual problems and their dual relationship. We simplify the present proofs in this area and extend the existing duality theory to the constrained nonsmooth setting.

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