Constrained nonsmooth utility maximization without quadratic inf convolution

DOI10.1016/J.SPA.2008.08.002MaRDI QIDQ1016629zbMATHOpenAlexFDO

Authors Nicholas Westray, Harry Zheng

Publication date 6 May 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2008.08.002

zbMATH Keywords

convex dualitycone constraintsnonsmooth utility maximization

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Nonsmooth analysis (49J52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Recommendations

• Constrained nonsmooth utility maximization on the positive real line
• Utility maximization in incomplete markets
• On utility maximization under convex portfolio constraints
• Utility maximization under trading constraints with discontinuous utility
• Convex duality in constrained portfolio optimization

Cites work

• scientific article; zbMATH DE number 3121282 (Why is no real title available?)
• scientific article; zbMATH DE number 3121283 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1342042 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• A super-martingale property of the optimal portfolio process
• Dual formulation of the utility maximization problem under transaction costs
• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• Hedging of contingent claims and maximum price
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• On the super replication price of unbounded claims
• Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
• Optimal investment in incomplete markets when wealth may become negative.
• Optional decompositions under constraints
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets for unbounded processes
• Utility maximization on the real line under proportional transaction costs

Cited in

(11)

• Recursive utility optimization with concave coefficients
• Constrained nonsmooth utility maximization on the positive real line
• On utility maximization under convex portfolio constraints
• An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Portfolio optimization under convex incentive schemes
• Convergence in the Semimartingale Topology and Constrained Portfolios
• Smooth value functions for a class of nonsmooth utility maximization problems
• Utility maximization under trading constraints with discontinuous utility
• Behavioral portfolio selection: asymptotics and stability along a sequence of models
• Risk management under weighted limited expected loss

This page was built for publication: Constrained nonsmooth utility maximization without quadratic inf convolution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1016629)