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Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
Mauricio Junca,
Rafael Serrano
Faculty of Economics
Faculty of Economics Research Group
urosario
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Business & Economics
Asset Returns
21%
Borrowing
20%
Cash
16%
Cash Flow
17%
Characterization
16%
Convex Duality
36%
Costs
8%
Friction
21%
Funding
20%
Inada Conditions
39%
Investors
24%
Jump
73%
Lending Rate
26%
Margin
36%
Market Model
21%
Martingale
24%
Mutual Fund Separation Theorem
35%
Optimal Allocation
22%
Payment
30%
Portfolio Choice
24%
Precautionary Saving
27%
Proportion
15%
Random Utility
29%
Returns to Scale
22%
Risk-averse
19%
Semimartingale
87%
Utility Maximization
73%
Wealth Dynamics
100%
Mathematics
Bounded variation
23%
Business
22%
Characterization
11%
Convex Duality
31%
Costs
15%
Friction
21%
Jump
52%
Margin
48%
Market Model
28%
Martingale
19%
Maximise
19%
Model
20%
Optimal Allocation
27%
Portfolio Choice
37%
Proportion
18%
Returns to Scale
33%
Semimartingale
72%
Shock
20%
Term
11%
Theorem
8%
Utility Maximization
91%