Utility maximization problem in the case of unbounded endowment
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Publication:469080
DOI10.3103/S0027132213030029zbMATH Open1298.49015MaRDI QIDQ469080FDOQ469080
Publication date: 10 November 2014
Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)
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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 (7)
- Title not available (Why is that?)
- Some Functional Analytic Tools for Utility Maximization
- Dual problem of robust utility maximization
- Optimal investment with random endowments 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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