An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon

Chonghu Guan, Xun Li 0002, Wenxin Zhou. An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon. SIAM J. Financial Math., 11(2):411-436, 2020. [doi]

Abstract

Abstract is missing.