Relaxed utility maximization in complete markets

DOI10.1111/J.1467-9965.2010.00451.XzbMATH Open1252.91076OpenAlexW2114056023MaRDI QIDQ3100752FDOQ3100752

Sara Biagini, Paolo Guasoni

Publication date: 21 November 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00451.x

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zbMATH Keywords

risk aversionutility maximizationasymptotic elasticitycomplete market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Heterogeneity and option pricing
• Title not available (Why is that?)
• Title not available (Why is that?)
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Convex analysis and nonlinear optimization. Theory and examples.
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• Remarks on Chacon's Biting Lemma
• Integral representation of convex functions on a space of measures

Cited In (5)

• UTILITY MAXIMIZATION IN A LARGE MARKET
• Utility maximization in incomplete markets
• LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• On the game interpretation of a shadow price process in utility maximization problems under transaction costs

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