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q-fin.PM2014
An expansion in the model space in the context of utility maximization
Kasper Larsen, Oleksii Mostovyi, Gordan Žitković
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order ex…
q-fin.PM2014
Facelifting in Utility Maximization
Kasper Larsen, H. Mete Soner, Gordan Zitkovic
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete…