Duality theory for concavification of utility functions in incomplete market model
Анотація
he main goal for this paper is to prove the existence of the optimal investment strategies for the standard and robust problems of maximization for the concavified utility function in an incomplete market model. We extend the existing results for strictly concave utility functions to concavification of non-concave utility functions. Moreover, we present an assumption under which the optimal strategies for concavified problems are also optimal strategies for non-concave problems.
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