Dual problem of robust utility maximization
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Publication:2104401
DOI10.3103/S0027132222040039zbMath1505.91366OpenAlexW4312477768MaRDI QIDQ2104401
Publication date: 7 December 2022
Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3103/s0027132222040039
dual problemOrlicz spacerandom endowmentutility maximizationFenchel duality\(f\)-divergencerobust utility
Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Utility theory (91B16) Financial markets (91G15)
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