Abstract
This paper accompanies a previous one by D.Kramkov and the present author. While in [17 ] we considered utility functions
In the setting of [17 ] the following crucial condition on the asymptotic elasticity of U, as x tends to
In the setting of the present paper this condition has to be accompanied by a similar condition on the asymptotic elasticity of U, as x tends to
Citation
Walter Schachermayer. "Optimal investment in incomplete markets when wealth may become negative." Ann. Appl. Probab. 11 (3) 694 - 734, August 2001. https://doi.org/10.1214/aoap/1015345346
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