Dynamic Lagrange multipliers equate the martingale duality multiplier function to the partial derivative of the value function with respect to wealth in non-concave utility portfolio optimization.
B., Kouwenberg, R., Post, G
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Dynamic Lagrange Multipliers in a Non-concave Utility Framework
Dynamic Lagrange multipliers equate the martingale duality multiplier function to the partial derivative of the value function with respect to wealth in non-concave utility portfolio optimization.