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Utility Maximization Under Trading Constraints with Discontinuous Utility

Bian, BJ; Chen, XF; Xu, ZQ

Bian, BJ (reprint author), Tongji Univ, Dept Math, Shanghai 200092, Peoples R China.

SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2019; 10 (1): 243

Abstract

This paper investigates a utility maximization problem in a Black-Scholes market, in which trading is subject to a convex cone constraint and the util......

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