Dual problem of robust utility maximization

DOI10.3103/S0027132222040039MaRDI QIDQ2104401zbMATHOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 50401 (Why is no real title available?)
• Convex duality and Orlicz spaces in expected utility maximization
• Dual characterization of the value function in the robust utility maximization problem
• Finitely Additive Measures
• Functional analysis, Sobolev spaces and partial differential equations
• Integrals which are convex functionals
• Integrals which are convex functionals. II
• On an Extension of the Notion off-Divergence
• Orlicz spaces based on families of measures
• Utility maximization problem in the case of unbounded endowment

Cited in

(7)

• Utility maximization problem in the case of unbounded endowment
• On utility maximization with random interval payoffs
• Some functional analytic tools for utility maximization
• Dual characterization of the value function in the robust utility maximization problem
• Robust utility maximization with unbounded random endowment
• Robust utility maximization in terms of supermartingale measures
• Duality theory for robust utility maximisation

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