Mathematics of Operations Research, Vol. 41, No. 1 (February 2016), pp. 146-173 (28 pages) This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) ...

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We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by ...

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Elementary economics tells us that a good decision is to maximize utility. Utility refers to how desirable a task or choice is for an individual. Maximizers are people who strive to get the very best ...