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The problem of maximizing the expected utility from terminal wealth is well understood in the context of a complete financial market. This paper studies the same problem in an incomplete market containing a bond and a finite number of stocks, whose prices are driven by a multidimensional Brownian motion process W. The coefficients of the bond and stock(More)
In a market with one stock and one bond, a risk averse agent would normally follow the principle of holding a positive amount of stock if and only if its mean rate of return is strictly larger than the interest rate of the bond We provide an example to show that in the latter case, it may be optimal not to invest in the stock. §
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