Conjugate duality in problems of constrained utility maximization

DOI10.1080/17442500802525401MaRDI QIDQ5190571zbMATH OpenOpenAlexFDO

Authors Chantal Labbé, Andrew J. Heunis

Publication date 18 March 2010

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500802525401

zbMATH Keywords

convex analysisdual problemsmartingale methods

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Martingales with continuous parameter (60G44) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• A martingale characterization of consumption choices and hedging costs with margin requirements
• Conjugate convex functions in optimal control and the calculus of variations
• Conjugate convex functions in optimal stochastic control
• Convex duality in constrained mean-variance portfolio optimization
• Convex duality in constrained portfolio optimization
• DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
• Existence theorems for general control problems of Bolza and Lagrange
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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Measurable dependence of convex sets and functions on parameters
• Optimal consumption choices for a `large' investor
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

Cited in

(11)

• Duality for portfolio optimization with short sales
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
• On the dual of the solvency cone
• Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
• Convex duality in constrained mean-variance portfolio optimization
• scientific article; zbMATH DE number 1985274 (Why is no real title available?)
• Duality theory for concavification of utility functions in incomplete market model
• Dynamic convex duality in constrained utility maximization
• Convex duality and Orlicz spaces in expected utility maximization
• Dynamic robust duality in utility maximization
• Investment optimization under constraints.

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