Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions

Andrew J. Heunis. Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions. SIAM J. Control and Optimization, 53(4):2608-2656, 2015. [doi]

Abstract

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