A note on utility maximization with unbounded random endowment (Q633829)
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| Language | Label | Description | Also known as |
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| English | A note on utility maximization with unbounded random endowment |
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A note on utility maximization with unbounded random endowment (English)
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30 March 2011
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In the case of random endowment a convex duality method is applied for expected utility maximization. The presented ideas are based on a refinement given in [\textit{F. Bellini} and \textit{M. Frittelli}, Math. Finance 12, No. 1, 1--21 (2002; Zbl 1014.91031)]. All proofs are correct.
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utility maximization
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convex duality method
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martingale measures
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