The supermartingale property of the optimal wealth process for general semimartingales

DOI10.1007/s00780-006-0026-0zbMath1144.91016OpenAlexW1999121654MaRDI QIDQ2463714

Marco Frittelli, Sara Biagini

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/24760

zbMATH Keywords

utility maximizationduality method\(\sigma\)-martingale measurenon locally bounded semimartingaleoptimal wealth process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (9)

Some Functional Analytic Tools for Utility Maximization ⋮ On admissible strategies in robust utility maximization ⋮ Risk aversion asymptotics for power utility maximization ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Stability of Radner equilibria with respect to small frictions ⋮ A unified framework for utility maximization problems: An Orlicz space approach ⋮ A note on admissibility when the credit line is infinite ⋮ OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING ⋮ On \(q\)-optimal martingale measures in exponential Lévy models

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