{"id":"hexagon/2610.00406","pdf":"https://hexagonmath.org/pdf/2610.00406v1","url":"https://hexagonmath.org/abs/2610.00406v1","tags":["math.AP","math.PR","msc:91G10","msc:93E20","msc:35K65","msc:60H30","Nonhomothetic utility","classical regularity","convex duality","degenerate HJB equations"],"score":0,"title":"Classical regularity and attainment in portfolio choice with nonhomothetic utility","domain":"math.OC","source":"hexagon","authors":["Yuanhong Wei","Zhenyu Sun"],"reviews":0,"subject":"math.OC","summary":"We study classical regularity and attainment in terminal-utility portfolio choice with unspanned factors, nonnegative wealth, and exposures that are square-integrable in expectation. A joint estimate for logarithmic marginal utility controls relative risk aversion and factor sensitivity. In several dimensions, a risk-price component uniformly separated from the factor-hedging span gives classical solvability and a unique strong optimal portfolio on every finite horizon. A scalar comparison equation treats correlated single-factor markets. For state-independent $C^4$ utility, the preference…","category":"research","comments":0,"disputed":false,"division":"math","mentions":0,"ai_models":["ChatGPT","SymPy"],"discussed":0,"published":"2026-10-20","reactions":{},"withdrawn":false,"authorship":"human","formalized":false,"human_understanding":"all"}