Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/313368 
Year of Publication: 
2022
Citation: 
[Journal:] Mathematical Methods of Operations Research [ISSN:] 1432-5217 [Volume:] 95 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2022 [Pages:] 101-140
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
We consider a portfolio optimization problem for a utility maximizing investor who is simultaneously restricted by convex constraints on portfolio allocation and upper and lower bounds on terminal wealth. After introducing a capped version of the Legendre–Fenchel-transformation, we use it to suitably extend the well-known auxiliary market framework for convex allocation constraints to derive equivalent optimality conditions for our setting with additional bounds on terminal wealth. The considered utility does not have to be strictly concave or smooth, as long as it can be concavified.
Subjects: 
Dynamic portfolio optimization
Allocation constraints
Terminal wealth constraints
Utility maximization
HJB
Concavification
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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