Some Functional Analytic Tools for Utility Maximization

DOI10.1007/978-3-319-03512-3_15zbMath1328.91267OpenAlexW824237227MaRDI QIDQ2946096

Alexander A. Gushchin, Ivan Morozov, R. V. Khasanov

Publication date: 16 September 2015

Published in: Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03512-3_15

zbMATH Keywords

convex dualityutility maximizationsingular components

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10)

Cites Work

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• The Kreps--Yan theorem for \(L^\infty\)
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• Utility maximization in incomplete markets for unbounded processes
• Extension of Fenchel's duality theorem for convex functions
• Integrals which are convex functionals
• Integrals which are convex functionals. II
• Dual Characterization of the Value Function in the Robust Utility Maximization Problem
• Admissible Strategies in Semimartingale Portfolio Selection
• On an Extension of the Notion off-Divergence
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Utility maximization in incomplete markets with random endowment

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