Dual problem of robust utility maximization

DOI10.3103/S0027132222040039zbMATH Open1505.91366OpenAlexW4312477768MaRDI QIDQ2104401FDOQ2104401

A. A. Farvazova

Publication date: 7 December 2022

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132222040039

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zbMATH Keywords

utility maximizationOrlicz spacerandom endowmentdual problemFenchel duality\(f\)-divergencerobust utility

Mathematics Subject Classification ID

Financial markets (91G15) Utility theory (91B16) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Cites Work

• Functional analysis, Sobolev spaces and partial differential equations
• Integrals which are convex functionals
• Integrals which are convex functionals. II
• Title not available (Why is that?)
• Finitely Additive Measures
• On an Extension of the Notion off-Divergence
• Utility maximization problem in the case of unbounded endowment
• Dual characterization of the value function in the robust utility maximization problem
• Convex duality and Orlicz spaces in expected utility maximization
• Orlicz spaces based on families of measures

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