Optimal investment with random endowments in incomplete markets.
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Publication:1879894
DOI10.1214/105051604000000134zbMATH Open1086.91030arXivmath/0405293OpenAlexW3100851307MaRDI QIDQ1879894FDOQ1879894
Authors: J. Hugonnier, Dmitry Kramkov 
Publication date: 15 September 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treat as the variables of the optimization problem not only the initial capital but also the number of units of the random endowments. We show that this approach leads to a dual problem, whose solution is always attained in the space of random variables. In particular, this technique does not require the use of finitely additive measures and the related assumption that the endowments are bounded.
Full work available at URL: https://arxiv.org/abs/math/0405293
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