State-Dependent Utilities and Incomplete Markets
The problem of optimal consumption and investment for an agent that does not influence the market is solved. The optimization criteria are based on a state-dependent utility functional as proposed in Londoño (2009). The proposed solution is given in any market without state-tame arbitrage opportunit...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2013-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2013/359701 |