Dual Formulation of the Utility Maximization Problem : the case of Nonsmooth Utility
Date
2004Link to item file
http://projecteuclid.org/euclid.aoap/1082737107Dewey
Probabilités et mathématiques appliquéesSujet
convex duality; incomplete markets; Utility maximizationJEL code
D52Journal issue
The Annals of Applied ProbabilityVolume
14Number
2Publication date
2004Article pages
678-717Publisher
Institute of Mathematical StatisticsCollections
Metadata
Show full item recordAuthor
Zhegal, Amina
Touzi, Nizar
Bouchard, Bruno