A note on admissibility when the credit line is infinite

DOI10.1080/17442508.2011.618881zbMath1251.91074OpenAlexW2122205944MaRDI QIDQ4648580

Sara Biagini, Mihai Sîrbu

Publication date: 9 November 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.618881

zbMATH Keywords

duality theoryutility maximizationinvestment opportunitysupermartingale propertynon-locally bounded semimartingale

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Utility theory (91B16) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Applications of functional analysis in probability theory and statistics (46N30) Credit risk (91G40)

Related Items (6)

Endogenous Noise Trackers in a Radner Equilibrium ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Existence of an equilibrium with limited participation ⋮ Financial markets with a large trader ⋮ Optimal portfolios in commodity futures markets ⋮ Taylor approximation of incomplete Radner equilibrium models

Cites Work

• Unnamed Item
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
• A unified framework for utility maximization problems: An Orlicz space approach
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A super-martingale property of the optimal portfolio process
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Derivative pricing based on local utility maximization
• Optimal investment in incomplete markets when wealth may become negative.
• The supermartingale property of the optimal wealth process for general semimartingales
• Utility maximization in incomplete markets for unbounded processes
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper

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