A note on admissibility when the credit line is infinite

DOI10.1080/17442508.2011.618881MaRDI QIDQ4648580zbMATH OpenOpenAlexFDO

Authors Sara Biagini, Mihai Sîrbu

Publication date 9 November 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2011.618881

zbMATH Keywords

utility maximizationduality theorysupermartingale propertyinvestment opportunitynon-locally bounded semimartingale

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Generalizations of martingales (60G48) Utility theory (91B16) Credit risk (91G40) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Duality theory (optimization) (49N15)

Recommendations

• On admissible strategies in robust utility maximization
• Admissible strategies in semimartingale portfolio selection
• Utility maximization in incomplete markets for unbounded processes
• On utility maximization under convex portfolio constraints
• scientific article; zbMATH DE number 2046394

Cites work

• A super-martingale property of the optimal portfolio process
• A unified framework for utility maximization problems: An Orlicz space approach
• An Orlicz spaces duality for utility maximization in incomplete markets
• Derivative pricing based on local utility maximization
• Exponential Hedging and Entropic Penalties
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
• Optimal investment in incomplete markets when wealth may become negative.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The supermartingale property of the optimal wealth process for general semimartingales
• Utility maximization in incomplete markets for unbounded processes

Cited in

(8)

• Endogenous noise trackers in a Radner equilibrium
• Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
• Taylor approximation of incomplete Radner equilibrium models
• Admissible strategies in semimartingale portfolio selection
• Existence of an equilibrium with limited participation
• On admissible strategies in robust utility maximization
• Financial markets with a large trader
• Optimal portfolios in commodity futures markets

This page was built for publication: A note on admissibility when the credit line is infinite

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4648580)