Utility maximization problem in the case of unbounded endowment

DOI10.3103/S0027132213030029zbMATH Open1298.49015MaRDI QIDQ469080FDOQ469080

Authors: R. V. Khasanov 

Publication date: 10 November 2014

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Recommendations

• A note on utility maximization with unbounded random endowment
• On the dual problem of utility maximization in incomplete markets
• Dual problem of robust utility maximization
• Utility maximization in incomplete markets with random endowment
• On utility maximization without passing by the dual problem

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Existence of solutions for minimax problems (49J35)

Cites Work

• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Integrals which are convex functionals. II
• Title not available (Why is that?)
• Finitely Additive Measures
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Optimal investment in incomplete markets when wealth may become negative.
• Optimal investment with random endowments in incomplete markets.
• Utility maximization in incomplete markets with random endowment
• Extension of Fenchel's duality theorem for convex functions
• Indifference price with general semimartingales

Cited In (11)

• Some functional analytic tools for utility maximization
• Title not available (Why is that?)
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative
• A note on utility maximization with unbounded random endowment
• Dual problem of robust utility maximization
• Optimal investment with random endowments in incomplete markets.
• On utility maximization without passing by the dual problem
• On the dual problem of utility maximization in incomplete markets
• Optimal investment with random endowments and transaction costs: duality theory and shadow prices
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Utility maximization with a stochastic clock and an unbounded random endowment

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