Note on Utility Maximization Problem via Duality Method : How to Derive the Candidate for the Dual Formulation
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In this paper, we consider the utility maximization problrem in the incomplete market models and derive the candidate for its dual problem. These arguments have already been given by Chen et al. (2008) or Rogers (2003), we also provide the way to derive the candidate of the dual formula and the optimal portfolio value at the terminal.
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