I want to show that constrained maximization or any similar proposal cannot be coherently supported by expected utility theory. First, I point to an important implication of that theory. Second, I ...

We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated ...

Economic's portfolio guidance Holy Grail is lifetime Expected Utility Maximization (EUM). Computational roadblocks held up its practical application for six decades. A new computational ...