Utility maximization problem in the case of unbounded endowment

DOI10.3103/S0027132213030029MaRDI QIDQ469080zbMATHFDO

Authors R. V. Khasanov

Publication date 10 November 2014

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

Mathematics Subject Classification ID

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

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• A note on utility maximization with unbounded random endowment
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Cites work

• scientific article; zbMATH DE number 3816450 (Why is no real title available?)
• Extension of Fenchel's duality theorem for convex functions
• Finitely Additive Measures
• Indifference price with general semimartingales
• Integrals which are convex functionals. II
• 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.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets with random endowment

Cited in

(11)

• Some functional analytic tools for utility maximization
• A note on utility maximization with unbounded random endowment
• Utility maximization with a stochastic clock and an unbounded random endowment
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative
• On utility maximization without passing by the dual problem
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Dual problem of robust utility maximization
• 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 random endowments in incomplete markets.
• scientific article; zbMATH DE number 5372060 (Why is no real title available?)

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