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Classical regularity and attainment in portfolio choice with nonhomothetic utility

Yuanhong Wei, Zhenyu Sun

Hexagonhexagon/2610.00406Oct 20, 2026math.OCscore 0

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…

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