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2011

A note on the existence of the power investor's optimizer

8 years 3 months ago
A note on the existence of the power investor's optimizer
[KLSX91] ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coefficients less than one. In this note, we explain a simple trick that allows us to use this result to provide the existence of utility maximizers for arbitrary coefficients of relative risk aversion. The simplicity of our approach is to be contrasted with the general existence result provided in [KS99]. Key Words: Incomplete markets, convex duality, change of measure, expected utility. 1
Kasper Larsen
Added 14 May 2011
Updated 14 May 2011
Type Journal
Year 2011
Where FS
Authors Kasper Larsen
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