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Utility maximization in incomplete markets
Been looking over papers on using utility maximization in incomplete markets, like this one from Kallsenhttp://www.springerlink.com/content/tgdg2pvrk5 ... uestions:1) What are the major names in this field?2) Are there any good review papers?3) What is the "street opinion" on these papers? Off the top of my head, they look like "kind of interesting, but how do you make money from this?"
Utility maximization in incomplete markets
Hi twofish,Personnaly, I like W. Schachermayer's review paper :http://www.fam.tuwien.ac.at/~wschach/pu ... 119.pdf.He starts with some very simple examples and finishes with very general results.My opinion on the subject is that this literature may help to investigate new dynamic strategies. One of the simplest example is probably the optimality of the CPPI in a BS universe for a CRRA utility function.