A note on admissibility when the credit line is infinite

DOI10.1080/17442508.2011.618881zbMATH Open1251.91074OpenAlexW2122205944MaRDI QIDQ4648580FDOQ4648580

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

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

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)

Cites Work

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

Cited In (8)

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

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)