A framework of state-dependent utility optimisation with general benchmarks

DOI10.1007/S00780-025-00561-9MaRDI QIDQ7006490zbMATH OpenFDO

Authors Zongxia Liang, Yang Liu

Publication date 28 March 2025

Published in Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

variational methodmeasurabilitygeneral benchmarksnon-existence of Lagrange multipliersstate-dependent utility optimisation

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Existence of optimal solutions to problems involving randomness (49J55) Financial applications of other theories (91G80)

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