The supermartingale property of the optimal wealth process for general semimartingales (Q2463714)

The authors consider an incomplete financial market with the price process described by a vector-valued semimartingale that is possibly non locally bounded. The classical problem of utility maximization from terminal wealth, under the assumption that the utility function is finite-valued and smooth on the entire real line and satisfies reasonable asymptotic elasticity, is studied. A new property of the optimal wealth process is established. Namely, it is proved that the optimal wealth process is in fact a supermartingale with respect to every \(\sigma\)-martingale measure with finite generalized entropy.