On convergence to the exponential utility problem (Q2464849)

The authors solve dynamic expected utility maximization problems with possibly not everywhere increasing utility functions. Terminal values of allowed wealth processes are elements of \(L^p\). The dynamic optimization problem over wealth processes is reformulated as a constraint static problem over \(L^p\)-random variables. A complete relation between various types of martingale measures (dual problem), the isoelastic, and the exponential problem is presented. This new approach contains convergence of the terminal values leading to an explicit portfolio of the exponential problem. The methods of convex analysis are applied for solving the constraint problem.